Name
Abstract | ||
|---|---|---|
This paper studies a class of continuous-time scalar-state stochastic Linear–Quadratic (LQ) optimal control problems with the linear control constraints. Using the state separation theorem induced from its special structure, we derive the analytical solution for this class of problems. The revealed optimal control policy is a piece-wise affine function of system state. This control policy can be computed efficiently by solving two Riccati equations off-line. Under some mild conditions, the stationary optimal control policy can be also achieved for this class of problems over an infinite horizon. Examples are presented to shed light on the theoretical results established. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.automatica.2020.108809 | Automatica |
Keywords | Field | DocType |
Linear quadratic regulators,Optimal control,Stochastic control,Continuous time systems,Constraints | Affine transformation,Time constrained,Mathematical optimization,Optimal control,Mutual fund separation theorem,Linear quadratic,Infinite horizon,Linear control,Mathematics | Journal |
Volume | Issue | ISSN |
114 | 114 | 0005-1098 |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Weiping Wu | 1 | 0 | 0.34 |
| Jianjun Gao | 2 | 51 | 11.33 |
| Jun Guo Lu | 3 | 200 | 23.91 |
| Xun Li | 4 | 97 | 14.61 |