Linear-quadratic fractional Gaussian control
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Duncan, Tyrone E.; Guo, L.; Pasik-Duncan, Bozenna (IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC, 1999-09)The adaptive linear quadratic Gaussian control problem, where the linear transformation of the state A and the linear transformation of the control B are unknown, is solved assuming only that (A, B) is controllable and (A, ...
Linear-quadratic control for stochastic equations in a Hilbert space with a fractional Brownian motion Duncan, Tyrone E.; Maslowski, Bozenna J.; Pasik-Duncan, Bozenna (Society for Industrial and Applied Mathematics, 2012-01-01)A linear-quadratic control problem with a finite time horizon for some infinite-dimensional controlled stochastic differential equations driven by a fractional Gaussian noise is formulated and solved. The feedback form of ...
Duncan, Tyrone E.; Maslowski, Bozenna J.; Pasik-Duncan, Bozenna (Society for Industrial and Applied Mathematics, 1994-05-01)An adaptive control problem for the boundary or the point control of a linear stochastic distributed parameter system is formulated and solved in this paper. The distributed parameter system is modeled by an evolution ...