Stochastic minimum-energy control
Probability
2014-10-14 v1
Abstract
We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system from a given initial state to a desired final state. The solution is found in terms of a certain forward-backward stochastic differential equation of Hamiltonian type.
Cite
@article{arxiv.1410.3150,
title = {Stochastic minimum-energy control},
author = {Bujar Gashi},
journal= {arXiv preprint arXiv:1410.3150},
year = {2014}
}