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Avtomatika i Telemekhanika, 2020, Issue 1, Pages 67–80
DOI: https://doi.org/10.31857/S0005231020010055 (Mi at15419) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Stochastic Systems

Optimal controller for a nonautonomous linear stochastic system with a two-sided cost functional

E. S. Palamarchuk

Central Economics and Mathematics Institute, Moscow, Russia
Full-text PDF (704 kB) Citations (1)
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DOI: https://doi.org/10.31857/S0005231020010055
Abstract: The stochastic linear control problem over an infinite-time horizon with a two-sided cost functional and a time-varying diffusion matrix is considered. In the two-sided quadratic cost functional, the limits of integration have opposite sign and depend on the length of planning horizon. It is shown that under conditions on the diffusion matrix growth, the well-known linear feedback law is optimal in terms of the extended long-run average cost and its pathwise analog. In addition, the probabilistic behavior of the system's optimal path is studied.
Keywords: stochastic linear controller, two-sided cost functional, time-varying diffusion matrix.
Funding agency Grant number
Russian Academy of Sciences - Federal Agency for Scientific Organizations АААА-Ф18-118021990120-2
This work was performed within the research project “Theory and Methods of Computer Simulation, Mathematical Modeling and Analysis of Social Systems and Processes,” state registration no. AAAA-F18-118021990120-2.
Presented by the member of Editorial Board: B. M. Miller

Received: 31.05.2019
Revised: 15.07.2019
Accepted: 18.07.2019
English version:
Automation and Remote Control, 2020, Volume 81, Issue 1, Pages 53–63
DOI: https://doi.org/10.1134/S0005117920010051
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: E. S. Palamarchuk, “Optimal controller for a nonautonomous linear stochastic system with a two-sided cost functional”, Avtomat. i Telemekh., 2020, no. 1, 67–80; Autom. Remote Control, 81:1 (2020), 53–63
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2020/i1/p67
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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