Optimization of Constrained Stochastic Linear-Quadratic Control on an Infinite Horizon: A Direct-Comparison Based Approach

Optimization of Constrained Stochastic Linear-Quadratic Control on an Infinite Horizon: A Direct-Comparison Based Approach

In this paper we study the optimization of the discrete-time stochastic linear-quadratic (LQ) control problem with conic control constraints on an infinite horizon, considering multiplicative noises. Stochastic control systems can be formulated as Markov Decision Problems (MDPs) with continuous stat...

Full description

Bibliographic Details
Main Authors: Ruobing Xue, Xiangshen Ye, Weiping Wu
Format: Article
Language:English
Published: MDPI AG 2020-02-01
Series:Algorithms
Subjects:
linear-quadratic
markov decision process(mdp)
conic constraints
stochastic control
direct-comparison based approach
Online Access:https://www.mdpi.com/1999-4893/13/2/49

Internet

https://www.mdpi.com/1999-4893/13/2/49

Similar Items