Linear convex stochastic control problems over an infinite horizon
- 1 June 1973
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 18 (3) , 314-315
- https://doi.org/10.1109/tac.1973.1100298
Abstract
A stochastic control problem over an infinite horizon which involves a linear system and a convex cost functional is analyzed. We prove the convergence of the dynamic programming algorithm associated with the problem, and we show the existence of a stationary Borel measurable optimal control law. The approach used illustrates how results on infinite time reachability [1] can be used for the analysis of dynamic programming algorithms over an infinite horizon subject to state constraints.Keywords
This publication has 5 references indexed in Scilit:
- Infinite time reachability of state-space regions by using feedback controlIEEE Transactions on Automatic Control, 1972
- Linear convex stochastic optimal control with applications in production planningPublished by Institute of Electrical and Electronics Engineers (IEEE) ,1971
- Production Smoothing with Stochastic Demand II: Infinite Horizon CaseManagement Science, 1971
- Production Smoothing with Stochastic Demand I: Finite Horizon CaseManagement Science, 1969
- Measurable dependence of convex sets and functions on parametersJournal of Mathematical Analysis and Applications, 1969