An LQ problem for the heat equation on the halfline with Dirichlet boundary control and noise

DOI10.1137/070711529zbMATH Open1196.35117arXiv0801.3888OpenAlexW2055601634MaRDI QIDQ3566972FDOQ3566972

Authors:

Publication date: 10 June 2010

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

Abstract: We study a linear quadratic problem for a system governed by the heat equation on a halfline with Dirichlet boundary control and Dirichlet boundary noise. We show that this problem can be reformulated as a stochastic evolution equation in a certain weighted L2 space. An appropriate choice of weight allows us to prove a stronger regularity for the boundary terms appearing in the infinite dimensional state equation. The direct solution of the Riccati equation related to the associated non-stochastic problem is used to find the solution of the problem in feedback form and to write the value function of the problem.

Full work available at URL: https://arxiv.org/abs/0801.3888

Recommendations

• A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control
• Optimal boundary control of the heat equation with target function at terminal time.
• Optimal control of a stochastic heat equation with boundary-noise and boundary-control
• A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes
• scientific article; zbMATH DE number 3922480

zbMATH Keywords

boundary controlstochastic convolutionanalytic semigroupRiccati equationstochastic evolution equationweighted \(L^2\) spacelinear quadratic control problemboundary noise

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) PDEs in connection with control and optimization (35Q93) PDEs with randomness, stochastic partial differential equations (35R60) Infinite-dimensional random dynamical systems; stochastic equations (37L55)

Cited In (20)

• Maximal regularity with weights for parabolic problems with inhomogeneous boundary conditions
• Elliptic and parabolic boundary value problems in weighted function spaces
• Viscosity solutions to HJB equations for boundary-noise and boundary-control problems
• On evolution equations with white-noise boundary conditions
• Second order PDEs with Dirichlet white noise boundary conditions
• Linear parabolic equation with Dirichlet white noise boundary conditions
• Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
• Gauss-Markov processes on Hilbert spaces
• A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes
• A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control
• Advection-diffusion equation on a half-line with boundary Lévy noise
• Global well-posedness and interior regularity of 2D Navier-Stokes equations with stochastic boundary conditions
• A semigroup approach to stochastic systems with input delay at the boundary
• Stochastic integration with respect to fractional processes in Banach spaces
• Stabilization of stochastic parabolic equations with boundary-noise and boundary-control
• Regular linear systems governed by a boundary controlled heat equation
• A functional analytic approach to infinite dimensional stochastic linear systems
• Optimal control of backward stochastic heat equation with Neumann boundary control and noise
• Properties of value function and existence of viscosity solution of HJB equation for stochastic boundary control problems
• Optimal distributed and tangential boundary control for the unsteady stochastic Stokes equations

This page was built for publication: An LQ problem for the heat equation on the halfline with Dirichlet boundary control and noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3566972)