Optimal Linear-Quadratic Regulator for a Stochastic System under Mutually Inverse Time Preferences in the Cost

DOI10.1137/s0040585x97t99126xzbMath1518.93157MaRDI QIDQ6160483

E. S. Palamarchuk

Publication date: 10 May 2023

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

optimal stochastic controlopposite weights for control and state variables

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• On stochastic optimality for a linear controller with attenuating disturbances
• On the generalization of logarithmic upper function for solution of a linear stochastic differential equation with a nonexponentially stable matrix
• Time invariance of optimal control in a stochastic linear controller design with dynamic scaling of coefficients
• Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
• On a Stochastic Optimality of the Feedback Control in the LQG-Problem
• On Optimal Stochastic Linear Quadratic Control with Inversely Proportional Time-Weighting in the Cost
• On a Matrix Riccati Equation of Stochastic Control
• Linear time varying systems and sampled-data systems

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