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On discrete-time linear quadratic control. (English) Zbl 0914.93068

Summary: The discrete-infinite time stochastic control system with complete observation is considered with quadratic cost functional when the coefficients of the system and cost functional are not time-invariant. It has been shown that the optimal control law has the form of time invariant feedback under the assumption that the coefficients have limits as time tends to infinity. In addition, asymptotic properties of the solution to the difference Riccati equation with time-varying coefficients are established.

MSC:

93E20 Optimal stochastic control
49N10 Linear-quadratic optimal control problems
93C55 Discrete-time control/observation systems
93C99 Model systems in control theory
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References:

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