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

[21] Infinite-Horizon Linear-Quadratic Control by Forward Propagation of the Differential Riccati Equation
Prach, Anna
Tekinalp, Ozan
Bernstein, Dennis S.
[J]. IEEE CONTROL SYSTEMS MAGAZINE, 2015, 35 (02): : 78 - 93
[22] Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon
Ni, Yuan-Hua
Li, Xun
Zhang, Ji-Feng
[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2016, 61 (11) : 3269 - 3284
[23] Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games
Peng, Chenchen
Zhang, Weihai
Ma, Limin
[J]. JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS, 2021, 358 (16): : 8288 - 8307
[24] Infinite-horizon linear-quadratic regulator problems for nonautonomous parabolic systems with boundary control
Acquistapace, P
Terreni, B
[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1996, 34 (01) : 1 - 30
[25] Discrete-time mean-field stochastic linear-quadratic optimal control problem with finite horizon
Song, Teng
Liu, Bin
[J]. ASIAN JOURNAL OF CONTROL, 2021, 23 (02) : 979 - 989
[26] On the stochastic linear quadratic optimal control problem by piecewise constant controls: The infinite horizon time case
Dragan, Vasile
Popa, Ioan-Lucian
Aberkane, Samir
[J]. MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2024, 47 (05) : 3734 - 3762
[27] TIME-INVARIANT LINEAR-QUADRATIC OPTIMAL-CONTROL PROBLEM
MOLINARI, BP
[J]. AUTOMATICA, 1977, 13 (04) : 347 - 357
[28] Real-time infinite horizon linear-quadratic tracking controller for vibration quenching in flexible beams
Alba-Flores, Rocio
Barbieri, Enrique
[J]. 2006 IEEE INTERNATIONAL CONFERENCE ON SYSTEMS, MAN, AND CYBERNETICS, VOLS 1-6, PROCEEDINGS, 2006, : 38 - +
[29] Mean-field linear-quadratic stochastic differential games in an infinite horizon
Li, Xun
Shi, Jingtao
Yong, Jiongmin
[J]. ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2021, 27
[30] LINEAR-QUADRATIC CONTROL PROBLEM WITHOUT STABILIZABILITY
DAPRATO, G
DELFOUR, M
[J]. LECTURE NOTES IN CONTROL AND INFORMATION SCIENCES, 1990, 147 : 126 - 147

← 1 2 3 4 5 →