A frequency criterion for the existence of an optimal control for Ito equations

Details A frequency criterion for the existence of an optimal control for Ito equations A frequency criterion for the existence of an optimal control for Ito equations

2010-12-31

arxiv.org/abs/1101.0266v1

Vestnik Lenigrad Univ. Mathematics. 16, 1984, pp. 41-47

Mathematics

Optimization and Control

Scientific paper

The following optimization problem is considered. For a linear vector Ito equation. it is required to find an optimal deterministic control vector which minimizes a quadratic the functional. A necessary and sufficient condition for the existence of a optimal control are formulated in the form of frequency inequalities. It is shown that an optimal control can be found by solving a certain linear-quadratic deterministic optimization problem.

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