Abstract
Given the following linear system
and the cost functional
where x 0 ∈ ℝn, x(t)∈ ℝn and u(t)∈ ℝm for all t ≥ 0, A, B, G, Q, R are matrices of correspondent dimension, and G, Q, R are symmetric.
This work is supported in part by the NSFC, under grant 79790130.
The original version of this chapter was revised: The copyright line was incorrect. This has been corrected. The Erratum to this chapter is available at DOI: 10.1007/978-0-387-35359-3_40
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Keywords
- Riccati Equation
- Optimal Control Theory
- Linear Quadratic Regulator
- Algebraic Riccati Equation
- Stochastic Case
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© 1999 IFIP International Federation for Information Processing
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Chen, S., Yu, X. (1999). Linear Quadratic Optimal Control: From Deterministic to Stochastic Cases. In: Chen, S., Li, X., Yong, J., Zhou, X.Y. (eds) Control of Distributed Parameter and Stochastic Systems. IFIP Advances in Information and Communication Technology, vol 13. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-35359-3_22
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DOI: https://doi.org/10.1007/978-0-387-35359-3_22
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