Stochastic Linear Quadratic Optimal Control with General Control Domain
Optimization and Control
2017-11-01 v1
Abstract
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, we establish a novel maximum principle. The application of the proposed maximum principle is illustrated through a work-out example.
Cite
@article{arxiv.1710.11302,
title = {Stochastic Linear Quadratic Optimal Control with General Control Domain},
author = {Shaolin Ji and Xiaole Xue},
journal= {arXiv preprint arXiv:1710.11302},
year = {2017}
}
Comments
15 pages