On deterministic and stochastic linear quadratic control problems

DOI10.1007/978-3-319-12577-0_37MaRDI QIDQ2949286zbMATH OpenOpenAlexFDO

Authors Tijana Levajković, Hermann Mena

Publication date 8 October 2015

Published in Trends in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-12577-0_37

zbMATH Keywords

LQRstochastic controlLQGRDEsSRDEs

Mathematics Subject Classification ID

Control problems involving ordinary differential equations (34H05) Existence of optimal solutions to problems involving randomness (49J55) Matrix equations and identities (15A24)

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Cites work

• scientific article; zbMATH DE number 1601817 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1535627 (Why is no real title available?)
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• scientific article; zbMATH DE number 1447315 (Why is no real title available?)
• Convergence Rates for the Feedback Operators Arising in the Linear Quadratic Regulator Problem Governed by Parabolic Equations
• Differential and algebraic Riccati equations with application to boundary/point control problems: Continuous theory and approximation theory
• Discrete-time indefinite LQ control with state and control dependent noises
• Matrix Riccati equations in control and systems theory
• Numerical solution of the infinite-dimensional LQR problem and the associated Riccati differential equations
• The Linear Regulator Problem for Parabolic Systems
• The Riccati Integral Equations for Optimal Control Problems on Hilbert Spaces

Cited in

(20)

• The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems
• Multiscale differential Riccati equations for linear quadratic regulator problems
• LAPACK-Based Condition Estimates for the Discrete-Time LQG Design
• Numerical solution of the finite horizon stochastic linear quadratic control problem
• Interpreting the dual Riccati equation through the LQ reproducing kernel
• The stochastic linear quadratic control problem with singular estimates
• Convergence of the standard RLS method and \(UDU^T\) factorisation of covariance matrix for solving the algebraic Riccati equation of the DLQR via heuristic approximate dynamic programming
• Numerical approximation of the LQR problem in a strongly damped wave equation
• Numerical solution of the infinite-dimensional LQR problem and the associated Riccati differential equations
• The Stochastic LQR Optimal Control with Fractional Brownian Motion
• The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach
• On general multiple linear-quadratic control problems
• A deterministic affine-quadratic optimal control problem
• Stochastic linear quadratic control via random parameter‐dependent truncated balanced realization
• On the Continuous Dependence with Respect to Sampling of the Linear Quadratic Regulator Problem for Distributed Parameter Systems
• Convergence of the time-invariant Riccati differential equation and LQ-problem: mechanisms of attraction
• A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
• A direct approach to linear-quadratic stochastic control
• Fourier-splitting method for solving hyperbolic LQR problems
• Linear quadratic optimal control: From determininstic to stochastic cases

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