Linear stochastic control with constraints |
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Authors: | Pontier M Szpirglas J |
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Affiliation: | Universite d'Orleans, Orleans, France; |
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Abstract: | This paper concerns the control of some process driven by linear stochastic equation with a quadratic cost and an average quadratic constraint. The constraint can be for example a limitation of the average energy consumption. The existence of an optimal control is proved and an approximate solution is constructed. |
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