E. S. Palamarchuk, “Analysis of criteria for long-run average in the problem of stochastic linear regulator”, Avtomat. i Telemekh., 2016, Issue 10,Pages <nobr>78

This article is cited in 8 papers

Stochastic Systems, Queuing Systems

Analysis of criteria for long-run average in the problem of stochastic linear regulator

E. S. Palamarchuk^ab

^a Central Economics and Mathematics Institute, Russian Academy of Sciences, Moscow, Russia
^b National Research University Higher School of Economics, Moscow, Russia

Abstract: The optimality criteria used in the problem of stochastic linear regulator over an infinite time horizon were analyzed. A certain criterion for long-run average and pathwise ergodic were shown to be inefficient with regard for the disturbance factor. Consideration was given to a new criterion of the extended long-run average and its use in the discounted control systems.

Presented by the member of Editorial Board: A. V. Nazin

Received: 17.08.2015