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Teoriya Veroyatnostei i ee Primeneniya, 1997, Volume 42, Issue 3, Pages 627–632
DOI: https://doi.org/10.4213/tvp2006 (Mi tvp2006) 		 
This article is cited in 9 scientific papers (total in 9 papers)

Short Communications

Optimality almost surely and in probability for a stochastic linearly quadratic regulator

E. L. Presman

Central Economics and Mathematics Institute, RAS
Full-text PDF (341 kB) Citations (9)
DOI: https://doi.org/10.4213/tvp2006
Abstract: The stochastic linear quadratic regulator with constant coefficients is considered in continuous time when the horizon tends to infinity. It is shown that the feedback control, which is optimal for the infinite time horizon in the corresponding deterministic problem is optimal in probability for any rate function which tends to zero and almost sure for any power rate function with negative degree.
Keywords: linear quadratic regulator, optimality almost surely, optimality in probability, stabilizability, detectability.
Received: 06.08.1996
English version:
Theory of Probability and its Applications, 1998, Volume 42, Issue 3, Pages 531–535
DOI: https://doi.org/10.1137/S0040585X97976362
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: E. L. Presman, “Optimality almost surely and in probability for a stochastic linearly quadratic regulator”, Teor. Veroyatnost. i Primenen., 42:3 (1997), 627–632; Theory Probab. Appl., 42:3 (1998), 531–535
Citation in format AMSBIB
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    • This publication is cited in the following 9 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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