Abstract
A stochastic control problem over an infinite horizon which involves a linear system and a convex cost functional is analyzed. We prove the convergence of the dynamic programming algorithm associated with the problem, and we show the existence of a stationary Borel measurable optimal control law. The approach used illustrates how results on infinite time reachability [1] can be used for the analysis of dynamic programming algorithms over an infinite horizon subject to state constraints.
Original language | English (US) |
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Pages (from-to) | 314-315 |
Number of pages | 2 |
Journal | IEEE Transactions on Automatic Control |
Volume | AC-18 |
Issue number | 3 |
DOIs | |
State | Published - Jun 1973 |
Externally published | Yes |
ASJC Scopus subject areas
- Control and Systems Engineering
- Computer Science Applications
- Electrical and Electronic Engineering