Optimization of the Superstable Linear Stochastic System Applied to the Model with Extremely Impatient Agents

被引：3

作者：

Palamarchuk, E. S. ^{[1
]}

机构：

[1] Natl Res Univ, Higher Sch Econ, Moscow, Russia

来源：

AUTOMATION AND REMOTE CONTROL | 2018年 / 79卷 / 03期

基金：

俄罗斯科学基金会;

关键词：

stochastic linear regulator; infinite time horizon; nonexponential stability; discounting;

D O I：

10.1134/S0005117918030049

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We consider the problem of stochastic linear regulator over an infinite time horizon with superexponentially stable matrix in the equation of state dynamics. The form of the optimal control based on the criterion taking into account the information about the parameters of disturbances and the matrix stability rate was determined. The results obtained were used to analyze the model of a system with extremely impatient agents where the objective functional includes discounting by the asymptotically unbounded rate.

引用

页码：439 / 450

页数：12

共 22 条

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