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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:scopusOn the benefits of the LD<sup>LT</sup> factorization for large-scale differential matrix equation solvers
ArticleAbstract: We propose efficient algorithms for solving large-scale matrix differential equations. In particularPalabras claves:Large-scale, Low-rank, Lyapunov equations, Matrix differential equations, Riccati equationsAutores:Hermann Mena, Lang N., Saak J.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