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About the linear-quadratic regulator problem under a fractional Brownian perturbation and complete observation

Marina Kleptsyna 1 Alain Le Breton 1 Michel Viot 2
1 IDOPT - System identification and optimization in physics and environment
Inria Grenoble - Rhône-Alpes, CNRS - Centre National de la Recherche Scientifique : UMR5527
2 LMC - IMAG - Laboratoire de Modélisation et Calcul
Abstract : In this report we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time. For a completely observable controlled linear system driven by a fractional Brownian motion, we describe explicitely the optimal control policy which minimizes a quadratic performance criterion.
Keywords : OPTIMAL CONTROL QUADRATIC PAYOFF FRACTIONAL BROWNIAN MOTION LINEAR SYSTEM
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Reports
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https://hal.inria.fr/inria-00072230
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Submitted on : Tuesday, May 23, 2006 - 8:10:31 PM
Last modification on : Friday, February 4, 2022 - 3:10:50 AM
Long-term archiving on: : Sunday, April 4, 2010 - 10:59:30 PM

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  • HAL Id : inria-00072230, version 1

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Marina Kleptsyna, Alain Le Breton, Michel Viot. About the linear-quadratic regulator problem under a fractional Brownian perturbation and complete observation. [Research Report] RR-4358, INRIA. 2002. ⟨inria-00072230⟩

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