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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
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.
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
Linking options:
https://www.mathnet.ru/eng/at15419 https://www.mathnet.ru/eng/at/y2020/i1/p67
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Abstract page: | 199 | Full-text PDF : | 24 | References: | 26 | First page: | 13 |
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