Review of Linear Stochastic Optimal Control Systems and Applications
1989 ◽
Vol 111
(4)
◽
pp. 399-403
◽
Keyword(s):
Many complex control systems can be modeled by linear ordinary differential/difference equations with multiplicative and additive noise. The characteristics and behavior of such systems are different from a regular linear quadratic Gaussian system, the basic difference being the inapplicability of the separation or the certainty equivalence principle. Control systems with multiplicative and additive noise are reviewed herein and the fundamental results, in continuous and discrete-time setting, are presented. Furthermore, the advantages and disadvantages are underlined and the need for further research is pointed out.
2020 ◽
Vol 17
(3)
◽
pp. 172988142091376
2017 ◽
Vol 12
(7)
◽
pp. 1555-1570
◽
1974 ◽
1985 ◽
Vol 9
(3)
◽
pp. 125-130
2018 ◽
Vol 233
(9)
◽
pp. 3050-3059
◽
2002 ◽
Vol 35
(1)
◽
pp. 337-342
◽
Keyword(s):
2015 ◽
Vol 2015
◽
pp. 1-7
Keyword(s):
2021 ◽
Vol 19
(12)
◽
pp. 3853-3861