Geodesic
Optimal control for a nonstationary linear system with a quadratic cost functional
Mathematica Applicanda, Tome 26 (1997) no. 40, pp. 3-11.

Voir la notice de l'article provenant de la source Annales Societatis Mathematicae Polonae Series

This paper is about optimal control of infinite-horizon nonstationary stochastic linear processes with a quadratic cost criterion. The synthesis problem of optimal control is solved under the assumptions that the criterion is an average expected cost and that the process' matrices possess limits for the time approaching infinity. Furthermore, the limit matrices are such that the "limit" process is both observable and controllable. The paper documents existence of an optimal feedback control policy. The policy is such that the gain matrix is a (scaled) solution to a Riccati stationary matrix equation. The equation is stationary in that its coefficients are the limits of the process' non-stationary matrices.
DOI : 10.14708/ma.v26i40.1854
Classification : 93E20 (49K45, 49N10)
Mots-clés : Optimal stochastic control, Problems involving randomness, Linear-quadratic problems 
@article{10_14708_ma_v26i40_1854,
     author = {Adam Czornik},
     title = {Optimal control for a nonstationary linear system with a quadratic cost functional},
     journal = {Mathematica Applicanda},
     pages = { 3--11},
     publisher = {mathdoc},
     volume = {26},
     number = {40},
     year = {1997},
     doi = {10.14708/ma.v26i40.1854},
     language = {pl},
     url = {http://geodesic.mathdoc.fr/articles/10.14708/ma.v26i40.1854/}
}
TY  - JOUR
AU  - Adam Czornik
TI  - Optimal control for a nonstationary linear system with a quadratic cost functional
JO  - Mathematica Applicanda
PY  - 1997
SP  -  3
EP  - 11
VL  - 26
IS  - 40
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.14708/ma.v26i40.1854/
DO  - 10.14708/ma.v26i40.1854
LA  - pl
ID  - 10_14708_ma_v26i40_1854
ER  - 
%0 Journal Article
%A Adam Czornik
%T Optimal control for a nonstationary linear system with a quadratic cost functional
%J Mathematica Applicanda
%D 1997
%P  3-11
%V 26
%N 40
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.14708/ma.v26i40.1854/
%R 10.14708/ma.v26i40.1854
%G pl
%F 10_14708_ma_v26i40_1854
Adam Czornik. Optimal control for a nonstationary linear system with a quadratic cost functional. Mathematica Applicanda, Tome 26 (1997) no. 40, pp.  3-11. doi : 10.14708/ma.v26i40.1854. http://geodesic.mathdoc.fr/articles/10.14708/ma.v26i40.1854/

Cité par Sources :