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Article

Stabilization of Linear Stochastic Systems with a Discount: Modeling and Estimation of the Long-Term Effects from the Application of Optimal Control Strategies

Mathematical Models and Computer Simulations. 2015. Vol. 7. No. 4. P. 381-388.

The paper is devoted to the problem of stabilizing a linear stochastic control system. Thequadratic cost functional measures the total loss caused by deviation from the fixed (target) levels and control trajectories, as well as a decision-maker’s time preferences expressed in the discount function. The long-term impacts of the use of decision-making, optimal on average, over an infinite-time horizon are taken as estimates of the deviation of the optimal trajectory from its target in the mean square sense and with the probability of 1.