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https://elib.bsu.by/handle/123456789/291847| Title: | On robustness of the optimal feedback law in a stochastic linear-quadratic control problem under cost uncertainty |
| Authors: | Palamarchuk, E. S. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Математика ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Кибернетика |
| Issue Date: | 2022 |
| Publisher: | Minsk : BSU |
| Citation: | Computer Data Analysis and Modeling: Stochastics and Data Science : Proc. of the XIII Intern. Conf., Minsk, Sept. 6–10, 2022 / Belarusian State University ; eds.: Yu. Kharin [et al.]. – Minsk : BSU, 2022. – Pp. 144-147. |
| Abstract: | We consider an extended linear-quadratic control system where the quadratic cost coefficient involving the state is subject to gaussian perturbations. The state equation contains both additive and multiplicative disturbances. We provide conditions on disturbance variances to guarantee the pathwise optimality of the well-known linear feedback control law over an infinite time-horizon |
| URI: | https://elib.bsu.by/handle/123456789/291847 |
| ISBN: | 978-985-881-420-5 |
| Licence: | info:eu-repo/semantics/restrictedAccess |
| Appears in Collections: | 2022. Computer Data Analysis and Modeling: Stochastics and Data Science |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 144-147.pdf | 308,56 kB | Adobe PDF | View/Open |
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