Infinite horizon stochastic regulation and tracking with the overtaking criterion∗

DOI10.1080/17442508708833470MaRDI QIDQ3767241zbMATH OpenOpenAlexFDO

Authors Arie Leizarowitz

Publication date 1987

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508708833470

zbMATH Keywords

deterministic tracking probleminfinite horizonlinear stochastic control plant with incomplete informationminimal cost growth rateoptimality criterionovertaking criterion

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3460142 (Why is no real title available?)
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• scientific article; zbMATH DE number 3560401 (Why is no real title available?)
• scientific article; zbMATH DE number 3278065 (Why is no real title available?)
• Tracking periodic signals with the overtaking criterion

Cited in

(11)

• On overtaking optimal tracking for linear systems
• A central limit theorem for temporally nonhomogenous Markov chains with applications to dynamic programming
• Optimal overtaking control for linear time-varying systems
• Tracking periodic signals with the overtaking criterion
• Overtaking Optimal Regulation and Tracking of Piecewise Diffusion Linear Systems
• On almost sure optimization for stochastic control systems
• Stability and control for linear systems with jump Markov perturbations
• Infinite horizon linear quadratic overtaking optimal control problems
• Resource-saving infinite-horizon tracking under uncertain input
• On optimal control in the problem of long-run tracking the exponential Ornstein-Uhlenbeck process
• Optimal controls for diffusion in R^ d- a min-max max-min formula for the minimal cost growth rate

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