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Article

Стабилизация линейных стохастических систем с дисконтированием: моделирование долгосрочных эффектов применения оптимальных стратегий управления

We consider a problem of stabilization of linear stochastic control systems. The quadratic cost functional measures the total loss resulting from deviation of the process and control from their target levels. It includes the decision maker’s time preference expressed by means of discount function. We study the long-run impacts of average optimal policies in terms of mean-square deviation of optimal trajectory from its target and also in an almost-sure sense.