Title :
Linear convex stochastic control problems over an infinite horizon
Author :
Bertsekas, Dimitri P.
Author_Institution :
Stanford University, Stanford, CT, USA
fDate :
6/1/1973 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1973.1100298
