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- W4311411060 abstract "In this paper, we investigate the stochastic linear-quadratic control problems with affine constraints in random coefficients case. With the help of the Pontryagin maximum principle and stochastic Riccati equation, the dual problem of original problem is established and the feedback solution of the optimal control problem is obtained. Under the Slater condition, the equivalence is proved between the solutions to the original problem and the ones of the dual problem, and the KKT condition is also provided for the dual problem. Finally, an invertibility assumption is given for ensuring the uniqueness of the solutions to the dual problem." @default.
- W4311411060 created "2022-12-26" @default.
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- W4311411060 date "2022-12-10" @default.
- W4311411060 modified "2023-09-27" @default.
- W4311411060 title "Stochastic Linear-quadratic Control Problems with Affine Constraints" @default.
- W4311411060 doi "https://doi.org/10.48550/arxiv.2212.05248" @default.
- W4311411060 hasPublicationYear "2022" @default.
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