Numerical Solution of the Infinite Dimensional Stochastic LQR Problem

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：czq8068

【摘要】

：

　　We consider a stochastic linear quadratic regulator(SLQR)control problem on Hilbert spaces.For a well-posed SLQR problem,the optimal control is given in ter

【作者】

：

Mena Hermann

【机构】

：

Univ.of Innsbruck

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We consider a stochastic linear quadratic regulator(SLQR)control problem on Hilbert spaces.For a well-posed SLQR problem,the optimal control is given in terms of a stochastic Riccati equation and a backward stochastic differential equation.

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Numerical Solution of the Infinite Dimensional Stochastic LQR Problem

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