Stochastic linear quadratic optimal control with constraint for discrete-time systems
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Publication:529912
DOI10.1016/J.AMC.2013.09.036zbMATH Open1364.49032OpenAlexW1990179652MaRDI QIDQ529912FDOQ529912
Authors: Yong-Cai Geng, Sumit K. Garg 
Publication date: 9 June 2017
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2013.09.036
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Lagrange multiplier theoremdiscrete-time stochastic systemslinear quadratic optimal controllinear terminal constraint
Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Discrete-time control/observation systems (93C55)
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