Title of article
Solution to a class of stochastic LQ problems with bounded control
Author/Authors
Iourtchenko، نويسنده , , D.V.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
4
From page
1439
To page
1442
Abstract
A new approach for finding an exact analytical solution to the modified Hamilton–Jacobi–Bellman equation is proposed. Together with the recently developed hybrid solution method, the proposed strategy allows to find a solution to a whole class of stochastic optimal control problems with bounded in magnitude control force.
Keywords
LQ problem , Bounded control , Hamilton–Jacobi–Bellman equation , Stochastic optimal control
Journal title
Automatica
Serial Year
2009
Journal title
Automatica
Record number
1447679
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