THE NORM OPTIMAL CONTROL PROBLEM FOR STOCHASTIC LINEAR CONTROL SYSTEMS
THE NORM OPTIMAL CONTROL PROBLEM FOR STOCHASTIC LINEAR CONTROL SYSTEMS
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DOI：
10.1051/cocv/2014030
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发表时间：
2015-04
期刊：
影响因子：
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通讯作者：
Yanqing Wang;Can Zhang
中科院分区：
文献类型：
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作者：
Yanqing Wang;Can Zhang
本文研究了不同随机线性控制系统的两个范数最优控制问题。一种是针对具有自然过滤的近似可控系统，另一种是针对具有一般过滤的精确可控系统。对于上述每个范数最优控制问题，通过构造适当的二次泛函并利用其极小元上的变分刻画，我们构造了唯一的范数最优控制。
In this paper we are concerned with two norm optimal control problems for different stochastic linear control systems. One is for approximately controllable systems with the natural filtra- tion, while another is for exactly controllable systems with a general filtration. For each aforementioned norm optimal control problem, we construct the unique norm optimal control, through building up some suitable quadratic functional and making use of a variational characterization on its minimizer.