The efficient solution of the (quietly constrained) noisy, linear regulator problem

DOI10.1016/J.JMAA.2006.11.032zbMATH Open1116.93054OpenAlexW2042778897MaRDI QIDQ2370738FDOQ2370738

Authors: Yanyan Li 

Publication date: 29 June 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.11.032

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zbMATH Keywords

Wiener processnumerical methodsstochastic differential equationsstochastic optimal controlvariational problemsaccuracyerrorconstrained optimal controlquadratic controlpathwise optimal controllinear regulator problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Numerical solutions to stochastic differential and integral equations (65C30) Optimal stochastic control (93E20) Stochastic analysis (60H99)

Cites Work

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• Stochastic differential equations. An introduction with applications.
• An unconstrained calculus of variations formulation for generalized optimal control problems and for the constrained problem of Bolza
• Discrete Variable Methods for the m-Dependent Variable, Nonlinear Extremal Problem in the Calculus of Variations
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• A new theory and the efficient methods of solution of strong, pathwise, stochastic variational problems
• New efficient numerical procedures for solving stochastic variational problems with a priori maximum pointwise error estimates
• Discrete Variable Methods for the m–Dependent Variable Nonlinear, Extremal Problem in the Calculus of Variations II
• THE STABILITY OF FLOW IN AN ELLIPTIC PIPE WITH LARGE ASPECT RATIO
• Sufficiency for optimal control with state and control constraints
• Anticipative LQG Control

Cited In (3)

• Trade-off between noise sensitivity and robustness for LQG regulators
• New efficient numerical procedures for solving stochastic variational problems with a priori maximum pointwise error estimates
• Efficient constrained optimization: From the deterministic past to the stochastic future

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