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On Optimal Linear Regulator with Polynomial Process of External Excitations

Theory of Probability and Its Applications. 2023. Vol. 67. No. 4. P. 535–547.
Palamarchuk E. S.

A linear control system over an infinite time-horizon is considered, where external excitations are defined as polynomials based on a time-varying Ornstein--Uhlenbeck process. An optimal control law with respect to long-run average type criteria is established. It is shown that the optimal control has the form of a linear feedback law, where the affine term satisfies a backward linear stochastic differential equation. The normalizing functions in the optimality criteria depend on the stability rate of the dynamic equation for the Ornstein--Uhlenbeck process.

Research target: Mathematics
Language: English
DOI
Text on another site
Keywords: pathwise optimalityOrnstein-Uhlenbeck processlinear regulatorpolynomial process
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