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Dynamische Sicherheitsäquivalente in linearen Systemen mit quadratischem Kriterium und linearer Beschränkung des Entscheidungsraumes

  • K. Jäger
Conference paper
Part of the Proceedings in Operations Research book series (ORP, volume 1973)

Abstract

SIMON [13] and THEIL [15] showed that in a linear system with quadratic criterion function and unrestricted decision and state spaces the process can be optimally controlled if the stochastic variable is replaced by its conditional expected value. These values are therefore called certainty equivalents.

The present paper is concerned with the same system and criterion function but with linearly restricted decision space. It is shown that in some cases there exist certainty equivalents though WHITE [19] is right in most other cases.

Résumé

SIMON [13] et THEIL [15] démontraient que le procès d’un système linéaire avec un critérium quadratique peut être contrôle optimalement si les espérances mathématiques conditonnelles de la variable stochastique sont traitées comme valeurs d’une variable déterministique. Pour cette raison elles sont nommées équivalents de sécurité.

Ce discours s’occupe de ces systèmes et fonctions objectives mais avec un espace de décisions linéairement borné. Il en résulte qu’il y a des équivalents de sécurité en quelques cas spéciales quoique WHITE [19] ait raison du reste.

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Copyright information

© Physica-Verlag, Rudolf Liebing KG, Würzburg 1974

Authors and Affiliations

  • K. Jäger
    • 1
  1. 1.BerlinDeutschland

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