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Avtomatika i Telemekhanika, 2018, Issue 3, Pages 61–75 (Mi at15020)  
This article is cited in 4 scientific papers (total in 4 papers)

Stochastic Systems

Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents

E. S. Palamarchuk

National Research University Higher School of Economics, Moscow, Russia
Full-text PDF (666 kB) Citations (4)
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Abstract: We consider the problem of stochastic linear regulator over an infinite time horizon with superexponentially stable matrix in the equation of state dynamics. The form of the optimal control based on the criterion taking into account the information about the parameters of disturbances and the matrix stability rate was determined. The results obtained were used to analyze the model of a system with extremely impatient agents where the objective functional includes discounting by the asymptotically unbounded rate.
Keywords: stochastic linear regulator, infinite time horizon, nonexponential stability, discounting.
Funding agency Grant number
Russian Science Foundation 17-11-01098
This work was supported by the Russian Science Foundation, project no. 17-11-01098, at the National Research University “The Higher School of Economics”.
Presented by the member of Editorial Board: A. P. Krishchenko

Received: 07.05.2017
English version:
Automation and Remote Control, 2018, Volume 79, Issue 3, Pages 439–450
DOI: https://doi.org/10.1134/S0005117918030049
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: E. S. Palamarchuk, “Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents”, Avtomat. i Telemekh., 2018, no. 3, 61–75; Autom. Remote Control, 79:3 (2018), 439–450
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2018/i3/p61
    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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