| 题名 | Optimal control for controllable stochastic linear systems |
| 作者 | |
| 通讯作者 | Sun，Jingrui |
| 发表日期 | 2020
|
| DOI | |
| 发表期刊 | |
| ISSN | 1292-8119
|
| EISSN | 1262-3377
|
| 卷号 | 26 |
| 摘要 | This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of stochastic linear systems is studied. Then the optimal control is explicitly obtained by considering a parameterized unconstrained backward LQ problem and an optimal parameter selection problem. A notable feature of our results is that, instead of solving an equation involving derivatives with respect to the parameter, the optimal parameter is characterized by a matrix equation. |
| 关键词 | |
| 相关链接 | [Scopus记录] |
| 收录类别 | |
| 语种 | 英语
|
| 学校署名 | 通讯
|
| 资助项目 | NSFC[14401556,11901280,61873325,11831010]
; SUST start-up funds["Y01286120","Y01286220"]
|
| WOS研究方向 | Automation & Control Systems
; Mathematics
|
| WOS类目 | Automation & Control Systems
; Mathematics, Applied
|
| WOS记录号 | WOS:000600212900002
|
| 出版者 | |
| EI入藏号 | 20205209668694
|
| EI主题词 | Linear systems
; Stochastic systems
; Optimal control systems
; Riccati equations
; Matrix algebra
; Stochastic control systems
; Quadratic programming
|
| EI分类号 | Control Systems:731.1
; Algebra:921.1
; Calculus:921.2
; Systems Science:961
|
| ESI学科分类 | MATHEMATICS
|
| Scopus记录号 | 2-s2.0-85097889761
|
| 来源库 | Scopus
|
| 引用统计 |
被引频次[WOS]：7
|
| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/210769 |
| 专题 | 理学院_数学系 深圳国际数学中心（杰曼诺夫数学中心）（筹） |
| 作者单位 | 1.Department of Statistics and Finance,University of Science and Technology of China,Hefei, Anhui,230026,China 2.Department of Mathematics,Southern University of Science and Technology,Shenzhen, Guangdong,518055,China 3.Department of Mathematics and SUSTech International Center for Mathematics,Southern University of Science and Technology,Shenzhen, Guangdong,518055,China |
| 通讯作者单位 | 数学系 |
| 推荐引用方式 GB/T 7714 |
Bi，Xiuchun,Sun，Jingrui,Xiong，Jie. Optimal control for controllable stochastic linear systems[J]. ESAIM - Control, Optimisation and Calculus of Variations,2020,26.
|
| APA |
Bi，Xiuchun,Sun，Jingrui,&Xiong，Jie.(2020).Optimal control for controllable stochastic linear systems.ESAIM - Control, Optimisation and Calculus of Variations,26.
|
| MLA |
Bi，Xiuchun,et al."Optimal control for controllable stochastic linear systems".ESAIM - Control, Optimisation and Calculus of Variations 26(2020).
|
| 条目包含的文件 | 条目无相关文件。 | |||||
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