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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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
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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| Summary: | 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. |
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| ISSN: | 1687-5249 1687-5257 |