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A Numerical Approximation Framework for the Stochastic Linear Quadratic Regulator on Hilbert Spaces
ArticleAbstract: We present an approximation framework for computing the solution of the stochastic linear quadraticPalabras claves:Approximation schemes, feedback control, Riccati equations, Stochastic linear quadratic regulator problemsAutores:Hermann Mena, Levajkovic T., Tuffaha A.Fuentes:scopusThe stochastic linear quadratic optimal control problem in hilbert spaces: A polynomial chaos approach
ArticleAbstract: We consider the stochastic linear quadratic optimal control problem for state equations of the Itô-SPalabras claves:Itô-Skorokhod integral, Polynomial chaos expansion method, Riccati equations, Stochastic linear quadratic optimal control problem, White noise analysisAutores:Hermann Mena, Levajkovic T., Tuffaha A.Fuentes:scopus