Stochastic singular optimal control problem with state delays: regularization, singular perturbation, and minimizing sequence

DOI10.1137/110852784MaRDI QIDQ4905930zbMATH OpenOpenAlexFDO

Authors Valery Y. Glizer

Publication date 21 February 2013

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

Full work available at URL https://doi.org/10.1137/110852784

zbMATH Keywords

regularizationsingular perturbationcheap controlsingular optimal controlminimizing control sequencetime delay stochastic system

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Sensitivity, stability, well-posedness (49K40) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Feedback control (93B52) Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20)

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Cited in

(10)

• Stochastic HJB equations and regular singular points
• Solution of a singular optimal control problem with state delays: a cheap control approach
• Solving optimal control problems with control delays using direct transcription
• On the linear quadratic optimal control for systems described by singularly perturbed Itô differential equations with two fast time scales
• Finite-Horizon $$H_{\infty }$$ Control Problem with Singular Control Cost
• Solution of a singular minimum energy control problem for time delay system: regularization approach
• Singular infinite horizon zero-sum linear-quadratic differential game: saddle-point equilibrium sequence
• Asymptotic properties of an infinite horizon partial cheap control problem for linear systems with known disturbances
• Saddle-point equilibrium sequence in one class of singular infinite horizon zero-sum linear-quadratic differential games with state delays
• SOLUTION OF A SINGULAR ZERO-SUM LINEAR-QUADRATIC DIFFERENTIAL GAME BY REGULARIZATION

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