A frequency criterion for the existence of an optimal control for Ito equations
Optimization and Control
2011-01-04 v1
Abstract
The following optimization problem is considered. For a linear vector Ito equation. it is required to find an optimal deterministic control vector which minimizes a quadratic the functional. A necessary and sufficient condition for the existence of a optimal control are formulated in the form of frequency inequalities. It is shown that an optimal control can be found by solving a certain linear-quadratic deterministic optimization problem.
Keywords
Cite
@article{arxiv.1101.0266,
title = {A frequency criterion for the existence of an optimal control for Ito equations},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:1101.0266},
year = {2011}
}