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Title: Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
Authors: Sun, J 
Li, X 
Yong, J
Issue Date: 2016
Source: SIAM journal on control and optimization, 2016, v. 54, no. 5, p. 2274-2308
Abstract: This paper is concerned with a stochastic linear quadratic (LQ) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two solvabilities are different. Closed-loop solvability is established by means of solvability of the corresponding Riccati equation, which is implied by the uniform convexity of the quadratic cost functional. Conditions ensuring the convexity of the cost functional are discussed, including the issue of how negative the control weighting matrix-valued function R(•) can be. Finiteness of the LQ problem is characterized by the convergence of the solutions to a family of Riccati equations. Then, a minimizing sequence, whose convergence is equivalent to the open-loop solvability of the problem, is constructed. Finally, some illustrative examples are presented.
Keywords: Closed-loop solvability
Finiteness
Linear quadratic optimal control
Open-loop solvability
Riccati equation
Stochastic differential equation
Publisher: Society for Industrial and Applied Mathematics
Journal: SIAM journal on control and optimization 
ISSN: 0363-0129
EISSN: 1095-7138
DOI: 10.1137/15M103532X
Rights: © 2016 Society for Industrial and Applied Mathematics
The following publication Sun, J., Li, X., & Yong, J. (2016). Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems. SIAM Journal on Control and Optimization, 54(5), 2274-2308 is available at https://doi.org/10.1137/15M103532X
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