Stochastic linear quadratic optimal control for continuous-time systems based on policy iteration

DOI10.13195/J.KZYJC.2014.0856zbMATH Open1349.93411MaRDI QIDQ2992467FDOQ2992467

Huaguang Zhang, Tao Wang

Publication date: 10 August 2016

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zbMATH Keywords

stochastic differential equationoptimal controlpolicy iterationstochastic algebra Riccati equation

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

Cited In (5)

• Iterative Procedures in Application of the LQG Approach to Control Problems for Polynomial Stochastic Systems
• A distributed stochastic approximation algorithm for stochastic LQ control with unknown uncertainty
• Robust Policy Iteration for Continuous-Time Linear Quadratic Regulation
• Stochastic $\varepsilon$-Optimal Linear Quadratic Adaptation: An Alternating Controls Policy
• Improved order 1/4 convergence for piecewise constant policy approximation of stochastic control problems

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