Stochastic minimum-energy control

2014/10/12 by Bujar Gashi, Gashi, Bujar
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1410.3150

arxiv created 2014/10/12 · arxiv updated 2014/10/14

Abstract

We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system from a given initial state to a desired final state. The solution is found in terms of a certain forward-backward stochastic differential equation of Hamiltonian type.

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