Linear Convex Stochastic Control Problems Over an Infinite Horizon

Dimitri P. Bertsekas

doi:10.1109/TAC.1973.1100298

Linear Convex Stochastic Control Problems Over an Infinite Horizon

Dimitri P. Bertsekas

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

A stochastic control problem over an infinite horizon which involves a linear system and a convex cost functional is analyzed. We prove the convergence of the dynamic programming algorithm associated with the problem, and we show the existence of a stationary Borel measurable optimal control law. The approach used illustrates how results on infinite time reachability [1] can be used for the analysis of dynamic programming algorithms over an infinite horizon subject to state constraints.

Original language	English (US)
Pages (from-to)	314-315
Number of pages	2
Journal	IEEE Transactions on Automatic Control
Volume	AC-18
Issue number	3
DOIs	https://doi.org/10.1109/TAC.1973.1100298
State	Published - Jun 1973
Externally published	Yes

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

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10.1109/TAC.1973.1100298

Cite this

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abstract = "A stochastic control problem over an infinite horizon which involves a linear system and a convex cost functional is analyzed. We prove the convergence of the dynamic programming algorithm associated with the problem, and we show the existence of a stationary Borel measurable optimal control law. The approach used illustrates how results on infinite time reachability [1] can be used for the analysis of dynamic programming algorithms over an infinite horizon subject to state constraints.",

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AB - A stochastic control problem over an infinite horizon which involves a linear system and a convex cost functional is analyzed. We prove the convergence of the dynamic programming algorithm associated with the problem, and we show the existence of a stationary Borel measurable optimal control law. The approach used illustrates how results on infinite time reachability [1] can be used for the analysis of dynamic programming algorithms over an infinite horizon subject to state constraints.

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Linear Convex Stochastic Control Problems Over an Infinite Horizon

Abstract

ASJC Scopus subject areas

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