Title :
The norm optimal control of stochastic linear control systems with jumps
Author_Institution :
Key Lab. of Syst. & Control, Acad. of Math. & Syst. Sci., Beijing, China
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;
Conference_Titel :
Control Conference (CCC), 2013 32nd Chinese
Conference_Location :
Xi´an
