An Infinite Time Horizon Linear-Quadratic Control Problem with a Rosenblatt Process

被引：0

作者：

Coupek, Petr ^{[1
]}

Duncan, Tyrone E. ^{[1
]}

Maslowski, Bohdan ^{[2
]}

Pasik-Duncan, Bozenna ^{[1
]}

机构：

[1] Univ Kansas, Dept Math, 1460 Jayhawk Blvd, Lawrence, KS 66045 USA

[2] Charles Univ Prague, Fac Math & Phys, Sokolovska 83, Prague 18675 8, Czech Republic

来源：

2018 IEEE CONFERENCE ON DECISION AND CONTROL (CDC) | 2018年

关键词：

STOCHASTIC INTEGRATION; RESPECT;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A linear-quadratic optimal control problem with an infinite time horizon for a scalar linear stochastic differential equation with additive Rosenblatt noise is formulated and solved. The Rosenblatt process is a non-Gaussian continuous stochastic process which exhibits self-similarity and long-range dependence. The feedback form of the optimal control and the optimal cost are given explicitly. The main tool used to find the optimal control is an Ito-type formula for a Rosenblatt process with drift.

引用

页码：4973 / 4977

页数：5

共 50 条

[1] Linear-quadratic optimal control problem of second order with infinite time horizon
Idczak, Dariusz
Walczak, Stanislaw
[J]. 2007 INTERNATIONAL WORKSHOP ON MULTIDIMENSIONAL SYSTEMS, 2007, : 47 - 50
[2] A stochastic linear-quadratic optimal control problem with jumps in an infinite horizon
Wu, Jiali
Tang, Maoning
Meng, Qingxin
[J]. AIMS MATHEMATICS, 2023, 8 (02): : 4042 - 4078
[3] NONCONVEX OPTIMIZATION PROBLEM - THE INFINITE-HORIZON LINEAR-QUADRATIC CONTROL PROBLEM WITH QUADRATIC CONSTRAINTS
YAKUBOVICH, VA
[J]. SYSTEMS & CONTROL LETTERS, 1992, 19 (01) : 13 - 22
[4] Stochastic linear-quadratic control with conic control constraints on an infinite time horizon
Chen, X
Zhou, XY
[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2004, 43 (03) : 1120 - 1150
[5] On the solvability of the Yakubovich linear-quadratic infinite horizon minimization problem
Fabbri, Roberta
Nunez, Carmen
[J]. ANNALI DI MATEMATICA PURA ED APPLICATA, 2020, 199 (05) : 1713 - 1735
[6] On the solvability of the Yakubovich linear-quadratic infinite horizon minimization problem
Roberta Fabbri
Carmen Núñez
[J]. Annali di Matematica Pura ed Applicata (1923 -), 2020, 199 : 1713 - 1735
[7] SOLUTION APPROXIMATION IN INFINITE-HORIZON LINEAR-QUADRATIC CONTROL
SCHOCHETMAN, IE
SMITH, RL
[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1994, 39 (03) : 596 - 601
[8] Singular Solution of an Infinite Horizon Linear-Quadratic Optimal Control Problem with State Delays
Glizer, Valery Y.
[J]. VARIATIONAL AND OPTIMAL CONTROL PROBLEMS ON UNBOUNDED DOMAIN, 2014, 619 : 59 - 98
[9] The value-function of an infinite-horizon linear-quadratic problem
Blot, J
Michel, P
[J]. APPLIED MATHEMATICS LETTERS, 2003, 16 (01) : 71 - 78
[10] LINEAR-QUADRATIC OPTIMAL CONTROL OF DIFFERENTIAL-ALGEBRAIC SYSTEMS: THE INFINITE TIME HORIZON PROBLEM WITH ZERO TERMINAL STATE
Reis, Timo
Voigt, Matthias
[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2019, 57 (03) : 1567 - 1596

← 1 2 3 4 5 →