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Systems Science

Tytuł artykułu

The linear quadratic stochastic optimal control problem with random horizon at finite number of events independent of states system

Autorzy Kozłowski, E. 
Treść / Zawartość
Warianty tytułu
Języki publikacji EN
EN The aim of the article is to expand the results of the theory of Linear Quadratic Control (the state of the system is described by the stochastic linear equation and the performance criterion has a quadratic form) in the case of random horizon independent of the states of the system. In the present case, the control horizon is a random variable with a discrete distribution and has a limited number of possible realizations (events). This situation is dependent on an external factor (generally independent of the system) and has a random character.
Słowa kluczowe
EN linear quadratic control   deterministic horizon   random horizon  
Wydawca Oficyna Wydawnicza Politechniki Wrocławskiej
Czasopismo Systems Science
Rocznik 2010
Tom Vol. 36, no 3
Strony 5--11
Opis fizyczny Bibliogr. 15 poz., tab., wykr.
autor Kozłowski, E.
  • Department of Quantitative Methods, Lublin University of Technology, Nadbystrzycka 38,20-618 Lublin, e.kozlovski
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[2] BANEK T., KOZŁOWSKI E., Adaptive control of system entropy, Control and Cybernetics, 35 (2), 2006, 279-289.
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[4] BANEK T., KOZŁOWSKI E., Adaptive control with random horizon, Annales Informatica, 3, 2005, 5- 14.
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[9] KARATZAS I., SHREVE S.E., Connections between optimal stopping and singular control. II. Reflected follower problems, SIAM J. Control and Optimization, 23, 1985, 433-451.
[10] KOZŁOWSKI E., Stochastic optimal control problem with random horizon, [in:] Recent Advances in Control and Automation, Malinowski K., Rutkowski L. (eds.), Polish Neural Network Society, Warsaw, 2008, 125-130.
[11] KUSHNER H.J., Introduction to Stochastic Control Theory, Holt, Rinehart and Winston, New York, 1972.
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[13] RUNGGALDIER W.J., Concepts and methods for discrete and continuous time control under uncertainty, Insurance Mathematics and Economics, 22, 1998, 25-39.
[14] SHIRYAEV A.N., Statistical analysis of sequential processes. Optimal stopping rules, Springer-Verlag, New York, 1978.
[15] ZABCZYK J., Chance and decision, Scuola Normale Superiore, Pisa, 1996.
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Identyfikator YADDA bwmeta1.element.baztech-article-BATD-0001-0054