Loading...
Ergodic boundary/point control of stochastic semilinear systems
Duncan, Tyrone E. Maslowski, Bozenna J. Pasik-Duncan, Bozenna
Duncan, Tyrone E.
Maslowski, Bozenna J.
Pasik-Duncan, Bozenna
Citations
Altmetric:
Abstract
A controlled Markov process in a Hilbert space and an ergodic cost functional are given for a control problem that is solved where the process is a solution of a parameter-dependent semilinear stochastic differential equation and the control can occur only on the boundary or at discrete points in the domain. The linear term of the semilinear differential equation is the infinitesimal generator of an analytic semigroup. The noise for the stochastic differential equation can be distributed, boundary and point. Some ergodic properties of the controlled Markov process are shown to be uniform in the control and the parameter. The existence of an optimal control is verified to solve the ergodic control problem. The optimal cost is shown to depend continuously on the system parameter.
Description
This is the published version, also available here: http://dx.doi.org/10.1137/S0363012996303190.
Date
1998-05-01
Journal Title
Journal ISSN
Volume Title
Publisher
Society for Industrial and Applied Mathematics
Research Projects
Organizational Units
Journal Issue
Keywords
ergodic control, stochastic semilinear equations, Markov processes in Hilbert spaces, invariant measures, boundary control
Citation
Duncan, Tyrone E., Maslowski, B., Pasik-Duncan, B. "Ergodic boundary/point control of stochastic semilinear systems." (1998) SIAM J. Control Optim., 36(3), 1020–1047. (28 pages). http://dx.doi.org/10.1137/S0363012996303190.