The Continuous-Time Linear Quadratic Regulator

Tomas Bjork, Mariana Khapko () and Agatha Murgoci ()
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Mariana Khapko: University of Toronto
Agatha Murgoci: Ørsted

Chapter Chapter 12 in Time-Inconsistent Control Theory with Finance Applications, 2021, pp 129-132 from Springer

Abstract: Abstract In this chapter, we apply the dynamic programming theory to the continuous-time linear quadratic regulator problem (LQR). The LQR is a classical engineering problem and design technique in which a process has its settings optimized by minimizing a quadratic cost function. The cost function is often defined as the sum of deviations for key properties (altitude, temperature, etc.).

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-81843-2_12

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DOI: 10.1007/978-3-030-81843-2_12

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