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Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions

  • Jingrui Sun
  • Jiongmin Yong
Book
  • 168 Downloads

Part of the SpringerBriefs in Mathematics book series (BRIEFSMATH)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Jingrui Sun, Jiongmin Yong
    Pages 1-10
  3. Jingrui Sun, Jiongmin Yong
    Pages 11-59
  4. Jingrui Sun, Jiongmin Yong
    Pages 61-103
  5. Back Matter
    Pages 105-120

About this book

Introduction


This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues – the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.


Keywords

Linear-quadratic optimal control Diffenrential Riccati equation Open-loop Closed-loop Algebraic Riccati equation

Authors and affiliations

  • Jingrui Sun
    • 1
  • Jiongmin Yong
    • 2
  1. 1.Department of MathematicsSouthern University of Science and TechnologyShenzhenChina
  2. 2.Department of MathematicsUniversity of Central FloridaOrlandoUSA

Bibliographic information