On Optimal Control of Linear Stochastic Equations with a Linear-Quadratic Criterion

Next article On Optimal Control of Linear Stochastic Equations with a Linear-Quadratic CriterionJean-Michel BismutJean-Michel Bismuthttps://doi.org/10.1137/0315001PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAboutAbstractThe purpose of this paper is to apply the stochastic maximum principle previously obtained by the author to the control of a linear quadratic criterion.[1] Jean-Michel Bismut, Conjugate convex functions in optimal stochastic control, J. Math. Anal. Appl., 44 (1973), 384–404 10.1016/0022-247X(73)90066-8 MR0329726 0276.93060 CrossrefISIGoogle Scholar[2] Jean-Michel Bismut, Linear quadratic optimal stochastic control with random coefficients, SIAM J. Control Optimization, 14 (1976), 419–444 10.1137/0314028 MR0406663 0331.93086 LinkISIGoogle Scholar Next article FiguresRelatedReferencesCited ByDetails Mixed deterministic and random optimal control of linear stochastic systems with quadratic costsProbability, Uncertainty and Quantitative Risk, Vol. 4, No. 1 | 4 January 2019 Cross Ref Stochastic Control of Linear Dynamical Systems with Full InformationEstimation and Control of Dynamical Systems | 24 May 2018 Cross Ref Optimal controls of fractional impulsive partial neutral stochastic integro-differential systems with infinite delay in Hilbert spacesInternational Journal of Control, Automation and Systems, Vol. 15, No. 3 | 22 May 2017 Cross Ref Infinite Horizon Optimal Control of Stochastic Delay Evolution Equations in Hilbert SpacesAbstract and Applied Analysis, Vol. 2013 | 1 Jan 2013 Cross Ref Multiplant Robust ControlThe Robust Maximum Principle | 1 Jan 2012 Cross Ref Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problemsSystems & Control Letters, Vol. 61, No. 1 | 1 Jan 2012 Cross Ref Optimal control problems for stochastic delay evolution equations in Banach spacesInternational Journal of Control, Vol. 84, No. 8 | 1 Aug 2011 Cross Ref Optimal control problem for stochastic evolution equations in Hilbert spacesInternational Journal of Control, Vol. 83, No. 9 | 1 Sep 2010 Cross Ref BibliographyAdvanced Mathematical Tools for Automatic Control Engineers: Stochastic Techniques | 1 Jan 2009 Cross Ref On the existence of stochastic optimal control of distributed state systemNonlinear Analysis: Theory, Methods & Applications, Vol. 52, No. 4 | 1 Feb 2003 Cross Ref Minimization of Risk and Linear Quadratic Optimal Control TheoryMichael Kohlmann and Shanjian TangSIAM Journal on Control and Optimization, Vol. 42, No. 3 | 26 July 2006AbstractPDF (264 KB)Robust optimal control for minimax stochastic linear quadratic problemInternational Journal of Control, Vol. 75, No. 14 | 8 November 2010 Cross Ref Robust stochastic maximum principle for multi-model worst case optimizationInternational Journal of Control, Vol. 75, No. 13 | 8 November 2010 Cross Ref Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued CoefficientsN. U. AhmedSIAM Journal on Control and Optimization, Vol. 19, No. 3 | 1 August 2006AbstractPDF (2753 KB)An Overview of Stochastic Bilinear Control ProcessesIEEE Transactions on Systems, Man, and Cybernetics, Vol. 10, No. 12 | 1 Dec 1980 Cross Ref Optimal Control of Stochastic SystemsProbabilistic Analysis and Related Topics | 1 Jan 1979 Cross Ref Controle des systemes lineaires quadratiques : Applications de l’integrale stochastiqueSéminaire de Probabilités XII | 25 August 2006 Cross Ref Controle lineaire sous contrainte avec observation partielleFiltering and Control of Random Processes Cross Ref Stochastic control with partial information[1992] Proceedings of the 31st IEEE Conference on Decision and Control Cross Ref Adaptive stochastic tracking: DNN-approachProceedings of the 41st IEEE Conference on Decision and Control, 2002. Cross Ref Volume 15, Issue 1| 1977SIAM Journal on Control and Optimization1-184 History Submitted:06 June 1975Published online:18 July 2006 InformationCopyright © 1977 Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/0315001Article page range:pp. 1-4ISSN (print):0363-0129ISSN (online):1095-7138Publisher:Society for Industrial and Applied Mathematics