Solution to a class of stochastic LQ problems with bounded control

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12 Citations (Scopus)

Abstract

A new approach for finding an exact analytical solution to the modified HamiltonJacobiBellman equation is proposed. Together with the recently developed hybrid solution method, the proposed strategy allows to find a solution to a whole class of stochastic optimal control problems with bounded in magnitude control force.
Original languageEnglish
Pages (from-to)1439-1442
Number of pages4
JournalAutomatica
Volume45
Issue number6
DOIs
Publication statusPublished - Jun 2009

Keywords

  • Stochastic optimal control
  • LQ problem
  • Hamilton-Jacobi-Bellman equation
  • Bounded control

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