Optimality almost surely and in probability for a stochastic linearly quadratic regulator

Theory of Probability and its Applications

Volumn 42, Issue 3, 1997, Pages 531-535

  Presman, E L ^a  

^a CENTRAL ECONOMICS AND MATHEMATICS INSTITUTE   (Russian Federation)

Author keywords

Detectability; Linear quadratic regulator; Optimality almost surely; Optimality in probability; Stabilizability

Indexed keywords

EID: 0031314125     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: 10.1137/s0040585x97976362     Document Type: Article

References (6)

1. M. H. A. DAVIS, Linear Estimation and Stochastic Control, Chapman and Hall, London, 1977.
2. E. PRESMAN, V. ROTAR, M. TAKSAR, Optimality in probability and almost surely. The general scheme and a linear regulator problem, Stochastics Stochastics Rep., 43 (1993), pp. 127-137.
3. G. B. DI MASI AND YU. KABANOV, On sensitive probabilistic criteria in the linear regulator problem with the infinite horizon, in Statistics and Control of Stochastic Processes, V, A. A. Novikov, ed., TVP, Moscow, 1997.
4. T. BELKINA AND E. L. PRESMAN, Controls that are asymptotically optimal in distribution for a linear stochastic system with a quadratic functional, Automat. i Telemekh., 3 (1997), pp. 106-115 (in Russian).
5. P. MANDL, Asymptotic ordering of probability distributions for linear controlled systems with quadratic cost, in Stochastic Differential Systems, N. Christipeit et al., eds., Lecture Notes in Control and Inform. Sci. 78, Springer-Verlag, Berlin, Heidelberg, 1986, pp. 277-283.
6. R. SH. LIPTSER AND A. N. SHIRYAEV, Theory of Martingales, Kluwer, Dordrecht, 1989.