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

DOI10.1016/J.JMAA.2006.11.032MaRDI QIDQ2370738zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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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