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Regular version of the site

Article

Analysis of criteria for long-run average in the problem of stochastic linear regulator

Automation and Remote Control. 2016. Vol. 77. No. 10. P. 1756-1767.

The optimality criteria used in the problem of stochastic linear regulator over an infinite time horizon were analyzed. A certain criterion for long-run average and pathwise ergodic were shown to be inefficient with regard for the disturbance factor. Consideration was given to a new criterion of the extended long-run average and its use in the discounted control systems.