DocumentCode
3288972
Title
The discrete state linear quadratic problem
Author
Quadrat, Jean-Pierre
Author_Institution
INRIA, Rocquencourt, France
fYear
1989
fDate
13-15 Dec 1989
Firstpage
736
Abstract
The author poses and solves the control problems for discrete-state Markov chains when the control influences in an affine way the transition probabilities and the cost is quadratic with respect to the state and the control. In this case the dynamic programming equation becomes a Riccati one. This type of problem appears in particular when the Hamilton-Jacobi-Bellman equation (HJB) is discretized. The order of approximation of some schemes for discretizing the HJB equation is discussed in connection with these results
Keywords
Markov processes; dynamic programming; probability; stochastic systems; Hamilton-Jacobi-Bellman equation; Markov chains; discrete state linear quadratic problem; dynamic programming; stochastic systems; transition probabilities; Boundary conditions; Cost function; Dynamic programming; Jacobian matrices; Linear systems; Riccati equations; Stability; State-space methods; Stochastic processes; Viscosity;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1989., Proceedings of the 28th IEEE Conference on
Conference_Location
Tampa, FL
Type
conf
DOI
10.1109/CDC.1989.70215
Filename
70215
Link To Document