Existence and uniqueness of constrained globally optimal feedback controls in a linear-quadratic framework

Yashan Xu

International Journal of Stochastic Analysis, 2006, vol. 2006, 1-22

Abstract:

A constrained closed-loop optimal control problem is considered in a linear-quadratic framework. To solve the problem, a special type open-loop optimal control problem and a standard open-loop optimal control problem are introduced and carefully studied, via which the existence and uniqueness of the globally optimal closed-loop control is established by a synthesis method.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:041926

DOI: 10.1155/JAMSA/2006/41926

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