• DocumentCode
    844054
  • Title

    Linear stochastic control with constraints

  • Author

    Pontier, M. ; Szpirglas, J.

  • Author_Institution
    Universite d´´Orleans, Orleans, France
  • Volume
    29
  • Issue
    12
  • fYear
    1984
  • fDate
    12/1/1984 12:00:00 AM
  • Firstpage
    1100
  • Lastpage
    1103
  • 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;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1984.1103453
  • Filename
    1103453
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=844054