Multi-Stage Planning and the Extended Linear-Quadratic-Gaussian Control Problem

DOI10.1287/MOOR.8.1.42zbMATH Open0506.90040OpenAlexW2080454630MaRDI QIDQ4744044FDOQ4744044

Authors: Jeffrey C. Lagarias, Fred Aminzadeh 

Publication date: 1983

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.8.1.42

zbMATH Keywords

stochastic controleconomic controllinear-quadratic-Gaussian control problemmulti-stage planning processesoptimal forecasts for the state variables

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Applications of mathematical programming (90C90) Stochastic programming (90C15) Optimal stochastic control (93E20)

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