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arXiv · 1410.3150

Stochastic minimum-energy control

Bujar Gashi
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Abstract

We give the solution to the minimum-energy control problem for linear stochastic systems. The problem is as follows: given an exactly controllable system, find the control process with the minimum expected energy that transfers the system from a given initial state to a desired final state. The solution is found in terms of a certain forward-backward stochastic differential equation of Hamiltonian type.

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Bujar Gashi. 2014-10-12. Stochastic minimum-energy control. https://arxiv.org/abs/1410.3150

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