Initial-Data-Parameterized linear quadratic stochastic optimal control problems with random jumps
2017
A stochastic control problem is formulated and we get the explicit form of the optimal control for initial-data-parameterized linear quadratic stochastic optimal control problems with random jumps. The optimal control can be proved to be unique. A stochastic Riccati equation is rigorous derived from the stochastic Hamilton system, which provides an optimal feedback control. This completes the the interrelationship between the stochastic Riccati equation and stochastic Hamilton system as two different but equivalent tools for the stochastic linear quadratic problem.
Keywords:
- Linear-quadratic regulator
- Optimal control
- Stochastic control
- Mathematical optimization
- Stochastic optimization
- Stochastic programming
- Continuous-time stochastic process
- Control theory
- Linear-quadratic-Gaussian control
- Algebraic Riccati equation
- Mathematics
- Stochastic differential equation
- Stochastic calculus
- Stochastic approximation
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
22
References
0
Citations
NaN
KQI