Infinite horizon stochastic regulation and tracking with the overtaking criterion∗

DOI10.1080/17442508708833470zbMath0629.93078OpenAlexW2074711097MaRDI QIDQ3767241

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

infinite horizonoptimality criterionovertaking criterionminimal cost growth ratedeterministic tracking problemlinear stochastic control plant with incomplete information

Mathematics Subject Classification ID

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

Related Items (6)

Optimal overtaking control for linear time-varying systems ⋮ On overtaking optimal tracking for linear systems ⋮ Stability and control for linear systems with jump Markov perturbations ⋮ Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate ⋮ A Central Limit Theorem for Temporally Nonhomogenous Markov Chains with Applications to Dynamic Programming ⋮ On almost sure optimization for stochastic control systems

Cites Work

• Tracking periodic signals with the overtaking criterion
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