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LQG homing in a finite time interval

Mario Lefebvre

Article (2011)

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Cite this document: Lefebvre, M. (2011). LQG homing in a finite time interval. Journal of Control Science and Engineering, 2011, p. 1-3. doi:10.1155/2011/561347
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Let X(t) be a controlled one-dimensional diffusion process having constant infinitesimal variance. We consider the problem of optimally controlling X(t) until time T(x) = min{T1(x),t1}, where T1(x) is the first-passage time of the process to a given boundary and t1 is a fixed constant. The optimal control is obtained explicitly in the particular case when X(t) is a controlled Wiener process.

Open Access document in PolyPublie
Subjects: 1600 Génie industriel > 1600 Génie industriel
Department: Département de mathématiques et de génie industriel
Research Center: Non applicable
Date Deposited: 30 Apr 2019 13:20
Last Modified: 01 May 2019 01:20
PolyPublie URL: https://publications.polymtl.ca/3647/
Document issued by the official publisher
Journal Title: Journal of Control Science and Engineering (vol. 2011)
Publisher: Hindawi
Official URL: https://doi.org/10.1155/2011/561347


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