Optimal stochastic regulators with state-dependent weights

被引：13
作者：
Gashi, Bujar [1 ]
机构：
[1] Univ Liverpool, Dept Math Sci, Peach St, Liverpool L69 7ZL, Merseyside, England
来源：
SYSTEMS & CONTROL LETTERS | 2019年 / 134卷
关键词：
Stochastic regulators; Risk-sensitive control; Optimal investment; RISK-SENSITIVE CONTROL; RICCATI-EQUATIONS; PORTFOLIO SELECTION; NONLINEAR-SYSTEMS; ADAPTED SOLUTION; SOLVABILITY; MARKET;
D O I：
10.1016/j.sysconle.2019.104522
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 introduce two optimal regulators for linear stochastic systems. The first is of a linear state-feedback form, and it generalises the linear-quadratic regulator by introducing state-dependent weights in the cost functional. The second is a certain risk-sensitive version of the first, and it is of a nonlinear state-feedback form. Both regulators are applied to the optimal investment problem. (C) 2019 Elsevier B.V. All rights reserved.
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页数：9
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