Solution to a class of stochastic LQ problems with bounded control

Daniil Yurchenko

doi:10.1016/j.automatica.2009.01.019

Solution to a class of stochastic LQ problems with bounded control

Daniil Yurchenko

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	1439-1442
Number of pages	4
Journal	Automatica
Volume	45
Issue number	6
DOIs	https://doi.org/10.1016/j.automatica.2009.01.019
Publication status	Published - Jun 2009

Keywords

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

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10.1016/j.automatica.2009.01.019

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title = "Solution to a class of stochastic LQ problems with bounded control",

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.",

keywords = "Stochastic optimal control, LQ problem, Hamilton-Jacobi-Bellman equation, Bounded control",

author = "Daniil Yurchenko",

year = "2009",

month = jun,

doi = "10.1016/j.automatica.2009.01.019",

language = "English",

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AU - Yurchenko, Daniil

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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 -

Solution to a class of stochastic LQ problems with bounded control

Abstract

Keywords

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