Stochastic linear quadratic optimal control with constraint for discrete-time systems

DOI10.1016/j.amc.2013.09.036zbMath1364.49032MaRDI QIDQ529912

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

zbMATH Keywords

Lagrange multiplier theorem; linear quadratic optimal control; discrete-time stochastic systems; linear terminal constraint

Mathematics Subject Classification ID

93C55: Discrete-time control/observation systems

49N10: Linear-quadratic optimal control problems

49K45: Optimality conditions for problems involving randomness