{"title":"Analytical solutions to LQG homing problems in one dimension","authors":"M. Lefebvre, F. Zitouni","doi":"10.1080/21642583.2013.878886","DOIUrl":null,"url":null,"abstract":"The problem of optimally controlling one-dimensional diffusion processes until they leave a given interval is considered. By linearizing the Riccati differential equation satisfied by the derivative of the value function in the so-called linear quadratic Gaussian homing problem, we are able to obtain an exact expression for the solution to the general problem. Particular problems are solved explicitly.","PeriodicalId":22127,"journal":{"name":"Systems Science & Control Engineering: An Open Access Journal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"17","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Systems Science & Control Engineering: An Open Access Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/21642583.2013.878886","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 17
Abstract
The problem of optimally controlling one-dimensional diffusion processes until they leave a given interval is considered. By linearizing the Riccati differential equation satisfied by the derivative of the value function in the so-called linear quadratic Gaussian homing problem, we are able to obtain an exact expression for the solution to the general problem. Particular problems are solved explicitly.
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