Geodesic
Stabilization of linear stochastic systems with a~discount: modeling and estimation of the long-term effects from the application of optimal control strategies
Matematičeskoe modelirovanie, Tome 27 (2015) no. 1, pp. 3-15

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We consider a problem of stabilization of linear stochastic control systems. The quadratic cost functional measures the total loss resulting from deviation of the process and control from their target levels. It includes the decision maker’s time preference expressed by means of discount function. We study the long-run impacts of average optimal policies in terms of mean-square deviation of optimal trajectory from its target and also in an almost-sure sense.
Keywords: stabilization of linear systems, quadratic cost, time preference, discount function, infinite-time horizon. 
@article{MM_2015_27_1_a0,
     author = {E. S. Palamarchuk},
     title = {Stabilization of linear stochastic systems with a~discount: modeling and estimation of the long-term effects from the application of optimal control strategies},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {3--15},
     publisher = {mathdoc},
     volume = {27},
     number = {1},
     year = {2015},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2015_27_1_a0/}
}
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E. S. Palamarchuk. Stabilization of linear stochastic systems with a~discount: modeling and estimation of the long-term effects from the application of optimal control strategies. Matematičeskoe modelirovanie, Tome 27 (2015) no. 1, pp. 3-15. http://geodesic.mathdoc.fr/item/MM_2015_27_1_a0/