Study on Indefinite Stochastic Linear Quadratic Optimal Control with Inequality Constraint
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-12-24
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper studies the indefinite stochastic linear quadratic (LQ) optimal control problem with an inequality constraint for the terminal state.
Firstly, we prove a generalized Karush-Kuhn-Tucker (KKT) theorem under hybrid constraints.
Secondly, a new type of generalized Riccati equations is obtained, based on which a necessary condition (it is also a sufficient condition under stronger assumptions) for the existence of an optimal linear state feedback control is given by means of KKT theorem.
Finally, we design a dynamic programming algorithm to solve the constrained indefinite stochastic LQ issue.
American Psychological Association (APA)
Li, Guiling& Zhang, Weihai. 2013. Study on Indefinite Stochastic Linear Quadratic Optimal Control with Inequality Constraint. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-499497
Modern Language Association (MLA)
Li, Guiling& Zhang, Weihai. Study on Indefinite Stochastic Linear Quadratic Optimal Control with Inequality Constraint. Journal of Applied Mathematics No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-499497
American Medical Association (AMA)
Li, Guiling& Zhang, Weihai. Study on Indefinite Stochastic Linear Quadratic Optimal Control with Inequality Constraint. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-499497
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-499497