On the synthesis of optimal control for the continuous-time linear stochastic systems with singular mean-square performance index

A.P. Serebrovski

Mathematics and Computers in Simulation (MATCOM), 1987, vol. 29, issue 3, 261-273

Abstract: Some necessary and sufficient conditions are found for the existence of the optimal control for systems with a singular mean-square performance index. Optimal control is obtained by the use of pseudo-inverse. The asymptotic behavior of sub-optimal control is also studied.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:29:y:1987:i:3:p:261-273

DOI: 10.1016/0378-4754(87)90136-4

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