LQG Homing in a Finite Time Interval
Let X(t) be a controlled one-dimensional diffusion process having constant infinitesimal variance. We consider the problem of optimally controlling X(t) until time T(x)=min{T1(x),t1}, where T1(x) is the first-passage time of the process to a given boundary and t1 is a fixed constant. The optimal con...
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| Format: | Article |
| Language: | English |
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Wiley
2011-01-01
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| Series: | Journal of Control Science and Engineering |
| Online Access: | http://dx.doi.org/10.1155/2011/561347 |
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| _version_ | 1832549324506005504 |
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| author | Mario Lefebvre |
| author_facet | Mario Lefebvre |
| author_sort | Mario Lefebvre |
| collection | DOAJ |
| description | Let X(t) be a controlled one-dimensional diffusion process having
constant infinitesimal variance. We consider the problem of optimally
controlling X(t) until time T(x)=min{T1(x),t1}, where T1(x) is the first-passage time of the process to a given boundary and t1 is a fixed
constant. The optimal control is obtained explicitly in the particular
case when X(t) is a controlled Wiener process. |
| format | Article |
| id | doaj-art-ac7849bbb0a142c4b0109881b8d9e5c7 |
| institution | Kabale University |
| issn | 1687-5249 1687-5257 |
| language | English |
| publishDate | 2011-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Control Science and Engineering |
| spelling | doaj-art-ac7849bbb0a142c4b0109881b8d9e5c72025-02-03T06:11:37ZengWileyJournal of Control Science and Engineering1687-52491687-52572011-01-01201110.1155/2011/561347561347LQG Homing in a Finite Time IntervalMario Lefebvre0Département de Mathématiques et Génie Industriel, École Polytechnique de Montréal, C.P. 6079, Succursale Centre-ville, Montréal, QC, H3C 3A7, CanadaLet X(t) be a controlled one-dimensional diffusion process having constant infinitesimal variance. We consider the problem of optimally controlling X(t) until time T(x)=min{T1(x),t1}, where T1(x) is the first-passage time of the process to a given boundary and t1 is a fixed constant. The optimal control is obtained explicitly in the particular case when X(t) is a controlled Wiener process.http://dx.doi.org/10.1155/2011/561347 |
| spellingShingle | Mario Lefebvre LQG Homing in a Finite Time Interval Journal of Control Science and Engineering |
| title | LQG Homing in a Finite Time Interval |
| title_full | LQG Homing in a Finite Time Interval |
| title_fullStr | LQG Homing in a Finite Time Interval |
| title_full_unstemmed | LQG Homing in a Finite Time Interval |
| title_short | LQG Homing in a Finite Time Interval |
| title_sort | lqg homing in a finite time interval |
| url | http://dx.doi.org/10.1155/2011/561347 |
| work_keys_str_mv | AT mariolefebvre lqghominginafinitetimeinterval |