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arXiv · 1906.03603

Optimal Control for Controllable Stochastic Linear Systems

Xiuchun Bi·Jingrui Sun·Jie Xiong
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Abstract

This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of stochastic linear systems is studied. Then the optimal control is explicitly obtained by considering a parameterized unconstrained backward LQ problem and an optimal parameter selection problem. A notable feature of our results is that, instead of solving an equation involving derivatives with respect to the parameter, the optimal parameter is characterized by an algebraic equation.

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Xiuchun Bi, Jingrui Sun, Jie Xiong. 2019-06-09. Optimal Control for Controllable Stochastic Linear Systems. https://arxiv.org/abs/1906.03603

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