On deterministic and stochastic linear quadratic control problems

DOI10.1007/978-3-319-12577-0_37zbMATH Open1327.34117OpenAlexW2311489761MaRDI QIDQ2949286FDOQ2949286

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

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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)

Cites Work

• Discrete-time indefinite LQ control with state and control dependent noises
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• Differential and algebraic Riccati equations with application to boundary/point control problems: Continuous theory and approximation theory
• Matrix Riccati equations in control and systems theory
• The Linear Regulator Problem for Parabolic Systems
• The Riccati Integral Equations for Optimal Control Problems on Hilbert Spaces
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• Convergence Rates for the Feedback Operators Arising in the Linear Quadratic Regulator Problem Governed by Parabolic Equations
• Numerical solution of the infinite-dimensional LQR problem and the associated Riccati differential equations

Cited In (20)

• 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
• 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

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