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Optimization of the Superstable Linear Stochastic System Applied to the Model with Extremely Impatient Agents

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Abstract

We consider the problem of stochastic linear regulator over an infinite time horizon with superexponentially stable matrix in the equation of state dynamics. The form of the optimal control based on the criterion taking into account the information about the parameters of disturbances and the matrix stability rate was determined. The results obtained were used to analyze the model of a system with extremely impatient agents where the objective functional includes discounting by the asymptotically unbounded rate.

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Authors and Affiliations

  1. National Research University Higher School of Economics, Moscow, Russia

    E. S. Palamarchuk

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  1. E. S. Palamarchuk
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Correspondence to E. S. Palamarchuk.

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Original Russian Text © E.S. Palamarchuk, 2018, published in Avtomatika i Telemekhanika, 2018, No. 3, pp. 61–75.

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Palamarchuk, E.S. Optimization of the Superstable Linear Stochastic System Applied to the Model with Extremely Impatient Agents. Autom Remote Control 79, 439–450 (2018). https://doi.org/10.1134/S0005117918030049

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  • DOI: https://doi.org/10.1134/S0005117918030049

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