Optimal Control for Controllable Stochastic Linear Systems
Optimization and Control
2019-06-11 v1
Abstract
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of stochastic linear systems is studied. Then the optimal control is explicitly obtained by considering a parameterized unconstrained backward LQ problem and an optimal parameter selection problem. A notable feature of our results is that, instead of solving an equation involving derivatives with respect to the parameter, the optimal parameter is characterized by an algebraic equation.
Cite
@article{arxiv.1906.03603,
title = {Optimal Control for Controllable Stochastic Linear Systems},
author = {Xiuchun Bi and Jingrui Sun and Jie Xiong},
journal= {arXiv preprint arXiv:1906.03603},
year = {2019}
}
Comments
20 pages