Linear Quadratic Optimal Control of Itô Stochastic Systems with Wiener and Poisson Noises

This paper investigates the infinite horizon optimal control problem for a class of continuous-time Itô stochasticˆ systems subject to continuous Wiener and discontinuous Poisson noises. Firstly, a stochastic algebraic Riccati equation (SARE) with Poisson jump intensity is provided for the concerned...

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Bibliographic Details

Published in:	Chinese Control and Decision Conference pp. 560 - 565
Main Authors:	Yan, Zhiguo, Chen, Guocui, Hu, Guolin, Wang, Yukai, Sun, Tingkun
Format:	Conference Proceeding
Language:	English
Published:	IEEE 25.05.2024
Subjects:	Accuracy Adaptation models Adaptive systems Heuristic algorithms Itô Stochastic systems Noise Optimal control Reinforcement learning Stochastic processes System dynamics
ISSN:	1948-9447
Online Access:	Get full text
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