Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 1439-1442 |
| Number of pages | 4 |
| Journal | Automatica |
| Volume | 45 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - Jun 2009 |
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Keywords
- Stochastic optimal control
- LQ problem
- Hamilton-Jacobi-Bellman equation
- Bounded control
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Solution to a class of stochastic LQ problems with bounded control. / Yurchenko, Daniil.
In: Automatica, Vol. 45, No. 6, 06.2009, p. 1439-1442.Research output: Contribution to journal › Article
TY - JOUR
T1 - Solution to a class of stochastic LQ problems with bounded control
AU - Yurchenko, Daniil
PY - 2009/6
Y1 - 2009/6
N2 - 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.
AB - 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.
KW - Stochastic optimal control
KW - LQ problem
KW - Hamilton-Jacobi-Bellman equation
KW - Bounded control
U2 - 10.1016/j.automatica.2009.01.019
DO - 10.1016/j.automatica.2009.01.019
M3 - Article
VL - 45
SP - 1439
EP - 1442
JO - Automatica
JF - Automatica
SN - 0005-1098
IS - 6
ER -