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Logarithmic transformations for discrete-time, finite-horizon stochastic control problems

โœ Scribed by Francesca Albertini; Wolfgang J. Runggaldier


Publisher
Springer
Year
1988
Tongue
English
Weight
848 KB
Volume
18
Category
Article
ISSN
0095-4616

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In this paper, we consider the problem of finite-time H -optimal control of linear, singularly perturbed, discrete-time systems. The problem is addressed from the game theoretic approach. This leads to a singularly perturbed, matrix Riccati difference equation, the solution of which is given in term