The control problem with random horizon at finie number of events is investigated in this paper, where the general aim of control is the stabilization (in mean square sense) of linear system at minimum cost. This problem is reduced to the task of optima control with established finite horizon. Moreover, the differences between stabilization with fixed and random horizons are also given. To illustrate those differences a numerical example is included.
The aim of the article is to expand the results of the theory of Linear Quadratic Control (the state of the system is described with the help of stochastic linear equation while the quality coefficient is of a quadratic form) in the case of random horizon independent of the states of the system. As for the question under consideration the control system horizon is an independent variable with a discreet decomposition and has got a limited number of possible accomplishments. The above mentioned situation takes places when the number of controls is brought out by the outside factor (generally independent of the system).
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