This paper solves a quadratic optimal control for a linear stochastic evolution equation with unbounded coefficients. It is assumed that the stochastic noise depends both on the state and on the control. The dynamic programming approach is used and attention is focused on the Riccati equation. In sections 5 and 6 some attractivity and maximality properties of the solutions of the algebraic Riccati equation are proved and it is shown that, in some special cases, there exists a maximal solution.

Tessitore, G. (1992). Some remarks on the Riccati equation arising in an optimal control problem with state- and control-dependent noise. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 30(3), 717-744 [10.1137/0330040].

Some remarks on the Riccati equation arising in an optimal control problem with state- and control-dependent noise

TESSITORE, GIANMARIO
1992

Abstract

This paper solves a quadratic optimal control for a linear stochastic evolution equation with unbounded coefficients. It is assumed that the stochastic noise depends both on the state and on the control. The dynamic programming approach is used and attention is focused on the Riccati equation. In sections 5 and 6 some attractivity and maximality properties of the solutions of the algebraic Riccati equation are proved and it is shown that, in some special cases, there exists a maximal solution.
Articolo in rivista - Articolo scientifico
Riccati equation
English
1992
30
3
717
744
none
Tessitore, G. (1992). Some remarks on the Riccati equation arising in an optimal control problem with state- and control-dependent noise. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 30(3), 717-744 [10.1137/0330040].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/18180
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