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|Type:||Artigo de evento|
|Title:||Minimum Second Moment State For The Existence Of Average Optimal Stationary Policies In Linear Stochastic Systems|
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.|
|Appears in Collections:||Unicamp - Artigos e Outros Documentos|
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