DocumentCode
1704327
Title
The norm optimal control of stochastic linear control systems with jumps
Author
Yanqing Wang
Author_Institution
Key Lab. of Syst. & Control, Acad. of Math. & Syst. Sci., Beijing, China
fYear
2013
Firstpage
1270
Lastpage
1275
Abstract
In this paper, we study the norm optimal control problem for the stochastic linear control systems with random jumps. By means of a quadratic functional, and a variational characterization of the minimizer of this functional, we obtain the existence and uniqueness of the norm optimal control. Also, we construct the optimal control by virtue of a backward stochastic differential equation.
Keywords
differential equations; linear systems; optimal control; random processes; stochastic processes; stochastic systems; backward stochastic differential equation; norm optimal control problem; quadratic functional minimizer variational characterization; random jumps; stochastic linear control systems; Aerospace electronics; Controllability; Equations; Hilbert space; Optimal control; Stochastic processes; controllability; norm optimal control; random jump; stochastic linear control system;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (CCC), 2013 32nd Chinese
Conference_Location
Xi´an
Type
conf
Filename
6639622
Link To Document