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arXiv:1101.0266 [math.OC]AbstractReferencesReviewsResources

A frequency criterion for the existence of an optimal control for Ito equations

Nikolai Dokuchaev

Published 2010-12-31Version 1

The following optimization problem is considered. For a linear vector Ito equation. it is required to find an optimal deterministic control vector which minimizes a quadratic the functional. A necessary and sufficient condition for the existence of a optimal control are formulated in the form of frequency inequalities. It is shown that an optimal control can be found by solving a certain linear-quadratic deterministic optimization problem.

Journal: Vestnik Lenigrad Univ. Mathematics. 16, 1984, pp. 41-47
Categories: math.OC
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