Study on Stochastic Linear Quadratic Optimal Control with Quadratic and Mixed Terminal State Constraints
Author
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-09-26
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This paper studies the indefinite stochastic LQ control problem with quadratic and mixed terminal state equality constraints, which can be transformed into a mathematical programming problem.
By means of the Lagrangian multiplier theorem and Riesz representation theorem, the main result given in this paper is the necessary condition for indefinite stochastic LQ control with quadratic and mixed terminal equality constraints.
The result shows that the different terminal state constraints will cause the endpoint condition of the differential Riccati equation to be changed.
It coincides with the indefinite stochastic LQ problem with linear terminal state constraint, so the result given in this paper can be viewed as the extension of the indefinite stochastic LQ problem with the linear terminal state equality constraint.
In order to guarantee the existence and the uniqueness of the linear feedback control, a sufficient condition is also presented in the paper.
A numerical example is presented at the end of the paper.
American Psychological Association (APA)
Hongli, Yang. 2013. Study on Stochastic Linear Quadratic Optimal Control with Quadratic and Mixed Terminal State Constraints. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-489499
Modern Language Association (MLA)
Hongli, Yang. Study on Stochastic Linear Quadratic Optimal Control with Quadratic and Mixed Terminal State Constraints. Journal of Applied Mathematics No. 2013 (2013), pp.1-8.
https://search.emarefa.net/detail/BIM-489499
American Medical Association (AMA)
Hongli, Yang. Study on Stochastic Linear Quadratic Optimal Control with Quadratic and Mixed Terminal State Constraints. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-489499
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-489499