Optimal stabilisation of a quasilinear stochastic system with controllable parameters
2018
In this paper we construct necessary conditions for the infinite horizon optimal stabilisation problem of a quasilinear stochastic system with controllable parameters. We propose that matrices in system and criterion (in general non-linearly) depend on vector parameter to be chosen. A particular case of this problem is the infinite-horizon LQG-problem for linear system with multiplicative noise and information constraints.
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