Linear Convex Stochastic Control Problems Over an Infinite Horizon

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8 Scopus citations


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 languageEnglish (US)
Pages (from-to)314-315
Number of pages2
JournalIEEE Transactions on Automatic Control
Issue number3
StatePublished - Jun 1973
Externally publishedYes

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering


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