Brief paper: Solution to a class of stochastic LQ problems with bounded control

Authors:
D. V. Iourtchenko
Affiliations:
Saint-Petersburg State Polytechnic University, Department of Mathematical Sciences, Saint-Petersburg, Russia
Venue:
Automatica (Journal of IFAC)
Year:
2009

Citing 2
Cited 0

Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications

SIAM Journal on Control and Optimization
Brief paper: A stochastically averaged optimal control strategy for quasi-Hamiltonian systems with actuator saturation

Automatica (Journal of IFAC)

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Abstract

A new approach for finding an exact analytical solution to the modified Hamilton-Jacobi-Bellman equation is proposed. Together with the recently developed hybrid solution method, the proposed strategy allows to find a solution to a whole class of stochastic optimal control problems with bounded in magnitude control force.