Optimal stochastic regulators with state-dependent weights

Gashi, Bujar (2019) Optimal stochastic regulators with state-dependent weights. SYSTEMS & CONTROL LETTERS, 134. p. 104522.

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Abstract

We introduce two optimal regulators for linear stochastic systems. The first is of a linear state-feedback form, and it generalises the linear–quadratic regulator by introducing state-dependent weights in the cost functional. The second is a certain risk-sensitive version of the first, and it is of a nonlinear state-feedback form. Both regulators are applied to the optimal investment problem.

Item Type:	Article
Additional Information:	## TULIP Type: Articles/Papers (Journal) ##
Uncontrolled Keywords:	Stochastic regulators, Risk-sensitive control, Optimal investment
Depositing User:	Symplectic Admin
Date Deposited:	24 Sep 2019 07:37
Last Modified:	19 Jan 2023 00:25
DOI:	10.1016/j.sysconle.2019.104522
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3055690