Foued Zitouni and Mario Lefebvre
Article (2014)
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Abstract
The matrix Riccati equation that must be solved to obtain the solution to stochastic optimal control problems known as LQG homing is linearized for a class of processes. The results generalize a theorem proved by Whittle and the one-dimensional case already considered by the authors. A particular two-dimensional problem is solved explicitly.
| Subjects: |
2950 Applied mathematics > 2950 Applied mathematics 3000 Statistics and probability > 3007 Stochastic processes |
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| Department: | Department of Mathematics and Industrial Engineering |
| PolyPublie URL: | https://publications.polymtl.ca/3632/ |
| Journal Title: | International Journal of Differential Equations (vol. 2014) |
| Publisher: | Hindawi |
| DOI: | 10.1155/2014/741390 |
| Official URL: | https://doi.org/10.1155/2014/741390 |
| Date Deposited: | 04 Feb 2019 10:16 |
| Last Modified: | 07 Apr 2025 12:12 |
| Cite in APA 7: | Zitouni, F., & Lefebvre, M. (2014). Linearization of a matrix riccati equation associated to an optimal control problem. International Journal of Differential Equations, 2014, 1-7. https://doi.org/10.1155/2014/741390 |
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