Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
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stochastic differential equationRiccati equationopen-loop solvabilitylinear quadratic optimal control problemclosed-loop solvability
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)
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.
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- scientific article; zbMATH DE number 1827975
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