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

DOI10.1137/070711529MaRDI QIDQ3566972zbMATH OpenOpenAlexFDO

Authors

Publication date 10 June 2010

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

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

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)

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.

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Cited in

(20)

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• 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
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• Stabilization of stochastic parabolic equations with boundary-noise and boundary-control
• Elliptic and parabolic boundary value problems in weighted function spaces
• Regular linear systems governed by a boundary controlled heat equation
• A semigroup approach to stochastic systems with input delay at the boundary

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