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JOURNALS // Avtomatika i Telemekhanika // Archive

Avtomat. i Telemekh., 2018 Issue 3, Pages 61–75 (Mi at15020)

This article is cited in 4 papers

Stochastic Systems

Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents

E. S. Palamarchuk

National Research University Higher School of Economics, Moscow, Russia

Abstract: We consider the problem of stochastic linear regulator over an infinite time horizon with superexponentially stable matrix in the equation of state dynamics. The form of the optimal control based on the criterion taking into account the information about the parameters of disturbances and the matrix stability rate was determined. The results obtained were used to analyze the model of a system with extremely impatient agents where the objective functional includes discounting by the asymptotically unbounded rate.

Keywords: stochastic linear regulator, infinite time horizon, nonexponential stability, discounting.

Presented by the member of Editorial Board: A. P. Krishchenko

Received: 07.05.2017


 English version:
Automation and Remote Control, 2018, 79:3, 439–450

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