Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems

DOI10.1137/15M103532XzbMATH Open1347.49033arXiv1508.02163OpenAlexW2963197062MaRDI QIDQ2820185FDOQ2820185

Jingrui Sun, Jiongmin Yong, Xun Li

Publication date: 14 September 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: This paper is concerned with a stochastic linear quadratic (LQ, for short) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two solvabilities are different. Closed-loop solvability is established by means of solvability of the corresponding Riccati equation, which is implied by the uniform convexity of the quadratic cost functional. Conditions ensuring the convexity of the cost functional are discussed, including the issue that how negative the control weighting matrix-valued function R(s) can be. Finiteness of the LQ problem is characterized by the convergence of the solutions to a family of Riccati equations. Then, a minimizing sequence, whose convergence is equivalent to the open-loop solvability of the problem, is constructed. Finally, an illustrative example is presented.

Full work available at URL: https://arxiv.org/abs/1508.02163

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zbMATH Keywords

stochastic differential equationRiccati equationopen-loop solvabilitylinear quadratic optimal control problemclosed-loop solvability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20) Optimal feedback synthesis (49N35)

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