✦ LIBER ✦
Quadratic Control for Stochastic Systems Defined by Evolution Operators and Square Integrable Martingales
✍ Scribed by C. Tudor
- Publisher
- John Wiley and Sons
- Year
- 1990
- Tongue
- English
- Weight
- 505 KB
- Volume
- 147
- Category
- Article
- ISSN
- 0025-584X
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✦ Synopsis
Abstract
The infinite dimensional version of the linear quadratic cost control problem is studied by Curtain and Pritchard [2], Gibson [5] by using Riccati integral equations, instead of differential equations. In the present paper the corresponding stochastic case over a finite horizon is considered. The stochastic perturbations are given by Hilbert valued square integrable martingales and it is shown that the deterministic optimal feedback control is also optimal in the stochastic case. Sufficient conditions are given for the convergence of approximate solutions of optimal control problems.