Abstract
In this paper two new numerically efficient algorithms to solve the state-and control-dependent noise linear-quadratic optimal control problem are proposed. The formulation extends the (Hoskins-Walton, 1978) method for square-root matrix computations and some recent results (Incertis, 1982) for deterministic algebraic Riccati equations resolution. Implementation requires as basic operations only additions, products and inversions in the field of the positive definite matrices being the approach quite general since it can be applied to solve optimal control problems associated to processes with multiple independent noises in the control and state vectors.
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© 1983 D. Reidel Publishing Comapany
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Incertis, F.C. (1983). Optimal Stochastic Control of Linear Systems with State and Control Dependent Noise: Efficient Computational Algorithms. In: Bucy, R.S., Moura, J.M.F. (eds) Nonlinear Stochastic Problems. NATO ASI Series, vol 104. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-7142-4_19
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DOI: https://doi.org/10.1007/978-94-009-7142-4_19
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