Geodesic
The Norm Optimal Control Problem for Stochastic Linear Control Systems
Wang, Yanqing1 ; Zhang, Can2
1 School of Mathematics and Statistics, Southwest University, Chongqing 400715, P.R. China.
2 School of Mathematics and Statistics, Wuhan University, Wuhan 430072, P.R. China.
ESAIM: Control, Optimisation and Calculus of Variations, Tome 21 (2015) no. 2, pp. 399-413

Voir la notice de l'article provenant de la source Numdam

In this paper we are concerned with two norm optimal control problems for different stochastic linear control systems. One is for approximately controllable systems with the natural filtration, while another is for exactly controllable systems with a general filtration. For each aforementioned norm optimal control problem, we construct the unique norm optimal control, through building up some suitable quadratic functional and making use of a variational characterization on its minimizer.

Reçu le :
DOI : 10.1051/cocv/2014030
Classification : 93E20, 93C05
Keywords: Norm optimal control, stochastic linear control systems, controllability, filtration

Wang, Yanqing 1 ; Zhang, Can 2

1 School of Mathematics and Statistics, Southwest University, Chongqing 400715, P.R. China.
2 School of Mathematics and Statistics, Wuhan University, Wuhan 430072, P.R. China. 
@article{COCV_2015__21_2_399_0,
     author = {Wang, Yanqing and Zhang, Can},
     title = {The {Norm} {Optimal} {Control} {Problem} for {Stochastic} {Linear} {Control} {Systems}},
     journal = {ESAIM: Control, Optimisation and Calculus of Variations},
     pages = {399--413},
     publisher = {EDP-Sciences},
     volume = {21},
     number = {2},
     year = {2015},
     doi = {10.1051/cocv/2014030},
     mrnumber = {3348405},
     zbl = {1311.93089},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/cocv/2014030/}
}
TY  - JOUR
AU  - Wang, Yanqing
AU  - Zhang, Can
TI  - The Norm Optimal Control Problem for Stochastic Linear Control Systems
JO  - ESAIM: Control, Optimisation and Calculus of Variations
PY  - 2015
SP  - 399
EP  - 413
VL  - 21
IS  - 2
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/cocv/2014030/
DO  - 10.1051/cocv/2014030
LA  - en
ID  - COCV_2015__21_2_399_0
ER  - 
%0 Journal Article
%A Wang, Yanqing
%A Zhang, Can
%T The Norm Optimal Control Problem for Stochastic Linear Control Systems
%J ESAIM: Control, Optimisation and Calculus of Variations
%D 2015
%P 399-413
%V 21
%N 2
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/cocv/2014030/
%R 10.1051/cocv/2014030
%G en
%F COCV_2015__21_2_399_0
Wang, Yanqing; Zhang, Can. The Norm Optimal Control Problem for Stochastic Linear Control Systems. ESAIM: Control, Optimisation and Calculus of Variations, Tome 21 (2015) no. 2, pp. 399-413. doi: 10.1051/cocv/2014030

Cité par Sources :