Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/91503
Type: Artigo de evento
Title: Minimum Second Moment State For The Existence Of Average Optimal Stationary Policies In Linear Stochastic Systems
Author: Vargas A.N.
Do Val J.B.R.
Abstract: This note considers the long-run aver- age cost control problem for a class of discrete-time stochastic systems. The stochastic system is assumed to be linear with respect to the state but the controls possess a general structure, possibly a nonlinear one. The main contribution of this paper is to show that the existence of a minimal second moment system state implies the existence of an optimal stationary policy for the long-run average cost problem. A numerical example illustrates the derived result. © 2010 AACC.
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Address: http://www.scopus.com/inward/record.url?eid=2-s2.0-77957808377&partnerID=40&md5=7391a3fc3007a387d4f1b08055b51985
Date Issue: 2010
Appears in Collections:Unicamp - Artigos e Outros Documentos

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