Title :
Linear stochastic control with constraints
Author :
Pontier, M. ; Szpirglas, J.
Author_Institution :
Universite d´´Orleans, Orleans, France
fDate :
12/1/1984 12:00:00 AM
Abstract :
This paper concerns the control of some process driven by linear stochastic equation with a quadratic cost and an average quadratic constraint. The constraint can be for example a limitation of the average energy consumption. The existence of an optimal control is proved and an approximate solution is constructed.
Keywords :
Linear-quadratic control; Stochastic optimal control, linear systems; Circuits; Costs; Filtering; Filters; Linear systems; Polynomials; Reduced order systems; Stochastic processes; Stochastic systems; Transfer functions;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1984.1103453
