Solution to a class of stochastic LQ problems with bounded control

DOI10.1016/J.AUTOMATICA.2009.01.019MaRDI QIDQ2391330zbMATH OpenOpenAlexFDO

Authors Daniil V. Iourtchenko

Publication date 24 July 2009

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2009.01.019

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlbounded controlLQ problem

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• A stochastically averaged optimal control strategy for quasi-Hamiltonian systems with actuator saturation
• Local solutions to the Hamilton-Jacobi-Bellman equation in stochastic problems of optimal control
• Stochastic optimal control of nonlinear systems via short-time Gaussian approximation and cell mapping
• Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications

Cited in

(6)

• Linear quadratic optimal control and zero-sum game for uncertain time-delay systems based on pessimistic value
• Optimal bounded control for stationary response of strongly nonlinear oscillators under combined harmonic and wide-band noise excitations
• Optimal bounded noisy feedback control for damping random vibrations
• On the LQG theory with bounded control
• Solution of the feedback control problem in the mathematical model of leukaemia therapy
• The piecewise optimisation method for approximating uncertain optimal control problems under optimistic value criterion

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