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Teoriya Veroyatnostei i ee Primeneniya, 2022, Volume 67, Issue 1, Pages 37–56
DOI: https://doi.org/10.4213/tvp5386 (Mi tvp5386) 		 
This article is cited in 1 scientific paper (total in 1 paper)

On optimal stochastic linear quadratic control with inversely proportional time-weighting in the cost

E. S. Palamarchuk

Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
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DOI: https://doi.org/10.4213/tvp5386
Abstract: We consider an optimal linear-quadratic control problem for a control system where the matrices corresponding to the state in the controlled process equation and the cost functional are absolutely integrable over an infinite time interval. The integral quadratic performance index includes two mutually inversely proportional time-weighting functions. It is shown that a well-known linear stable feedback law turns out to be optimal with respect to criteria from the class of the extended long-run averages. The results are applied to studying a control system under time-varying dynamic scaling of its parameters.
Keywords: stochastic linear-quadratic regulator, pathwise optimality, inversely proportional time-weighting of costs, absolutely integrable state matrix.
Funding agency Grant number
Russian Science Foundation 18-71-10097
This work was supported by the Russian Science Foundation (grant 18-71-10097).
Received: 12.01.2020
Revised: 23.04.2021
Accepted: 07.06.2021
English version:
Theory of Probability and its Applications, 2022, Volume 67, Issue 1, Pages 28–43
DOI: https://doi.org/10.1137/S0040585X97T990733
Bibliographic databases:
Document Type: Article
PACS: 02.50.Ey 02.30.Yy
MSC: 93E20
Language: Russian
Citation: E. S. Palamarchuk, “On optimal stochastic linear quadratic control with inversely proportional time-weighting in the cost”, Teor. Veroyatnost. i Primenen., 67:1 (2022), 37–56; Theory Probab. Appl., 67:1 (2022), 28–43
Citation in format AMSBIB
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\pages 37--56
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\jour Theory Probab. Appl.
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  • https://www.mathnet.ru/eng/tvp/v67/i1/p37
    • This publication is cited in the following 1 articles:
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