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2013 Study on Stochastic Linear Quadratic Optimal Control with Quadratic and Mixed Terminal State Constraints
Yang Hongli
J. Appl. Math. 2013: 1-8 (2013). DOI: 10.1155/2013/674327

Abstract

This paper studies the indefinite stochastic LQ control problem with quadratic and mixed terminal state equality constraints, which can be transformed into a mathematical programming problem. By means of the Lagrangian multiplier theorem and Riesz representation theorem, the main result given in this paper is the necessary condition for indefinite stochastic LQ control with quadratic and mixed terminal equality constraints. The result shows that the different terminal state constraints will cause the endpoint condition of the differential Riccati equation to be changed. It coincides with the indefinite stochastic LQ problem with linear terminal state constraint, so the result given in this paper can be viewed as the extension of the indefinite stochastic LQ problem with the linear terminal state equality constraint. In order to guarantee the existence and the uniqueness of the linear feedback control, a sufficient condition is also presented in the paper. A numerical example is presented at the end of the paper.

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Yang Hongli. "Study on Stochastic Linear Quadratic Optimal Control with Quadratic and Mixed Terminal State Constraints." J. Appl. Math. 2013 1 - 8, 2013. https://doi.org/10.1155/2013/674327

Information

Published: 2013
First available in Project Euclid: 14 March 2014

zbMATH: 06950813
MathSciNet: MR3108919
Digital Object Identifier: 10.1155/2013/674327

Rights: Copyright © 2013 Hindawi

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