Optimal Stabilization of Families of Linear Stochastic Differential Equations with Jump Coefficients and Multiplicative Noise

DOI10.1137/0325087MaRDI QIDQ3777928zbMATH OpenOpenAlexFDO

Authors William E. jun. Hopkins

Publication date 1987

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

Full work available at URL https://doi.org/10.1137/0325087

zbMATH Keywords

parameter optimizationstabilizing controllersadditive and multiplicative white Gaussian noisefeedback control system with jump Markov coefficients

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Optimality conditions for problems involving randomness (49K45) Linear systems in control theory (93C05) Stabilization of systems by feedback (93D15) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

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(7)

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• A Markov chain that models genetic algorithms in noisy environments
• Predictive control of random-parameter systems with multiplicative noise. Application to investment portfolio optimization
• LP-stabilization problem for linear stochastic control systems with multiplicative noise
• Stochastic stability analysis for fault tolerant control systems with multiple failure processes
• Guaranteed robustness properties of multivariable nonlinear stochastic optimal regulators
• Averaged dynamics and pole assignment for a class of stochastic systems

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