• DocumentCode
    811927
  • Title

    Linear convex stochastic control problems over an infinite horizon

  • Author

    Bertsekas, Dimitri P.

  • Author_Institution
    Stanford University, Stanford, CT, USA
  • Volume
    18
  • Issue
    3
  • fYear
    1973
  • fDate
    6/1/1973 12:00:00 AM
  • Firstpage
    314
  • Lastpage
    315
  • Abstract
    A stochastic control problem over an infinite horizon which involves a linear system and a convex cost functional is analyzed. We prove the convergence of the dynamic programming algorithm associated with the problem, and we show the existence of a stationary Borel measurable optimal control law. The approach used illustrates how results on infinite time reachability [1] can be used for the analysis of dynamic programming algorithms over an infinite horizon subject to state constraints.
  • Keywords
    Dynamic programming; Linear systems, stochastic discrete-time; Optimal stochastic control; Stochastic optimal control; Control systems; Convergence; Cost function; Dynamic programming; Heuristic algorithms; Infinite horizon; Linear systems; Optimal control; Stochastic processes; Stochastic systems;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1973.1100298
  • Filename
    1100298
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=811927