Linear-quadratic stochastic optimal control problem with incomplete information and uncertain noise statistics

2006 ◽  
Author(s):  
Gregory Miller ◽  
Alexey Pankov
Keyword(s):  
Optimal Control ◽  
Optimal Control Problem ◽  
Control Problem ◽  
Incomplete Information ◽  
Stochastic Optimal Control ◽  
Linear Quadratic ◽  
Stochastic Optimal Control Problem ◽  
Noise Statistics

Stochastic Optimal Control

2019 ◽  
pp. 333-350
Author(s):  
Tomas Björk
Keyword(s):  
Optimal Control ◽  
Dynamic Programming ◽  
Optimal Control Problem ◽  
Control Problem ◽  
Stochastic Optimal Control ◽  
Linear Quadratic Regulator ◽  
Linear Quadratic ◽  
Verification Theorem ◽  
Stochastic Optimal Control Problem ◽  
Hamilton Jacobi Bellman

We study a general stochastic optimal control problem within the framework of a controlled SDE. This problem is studied using dynamic programming and we derive the Hamilton–Jacobi–Bellman PDE. By stating and proving a verification theorem we show that solving this PDE is equivalent to solving the control problem. As an example the theory is then applied to the linear quadratic regulator.

Sign in / Sign up

Export Citation Format

Share Document