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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
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.
Rights: fechado
Identifier DOI: 
Date Issue: 2010
Appears in Collections:Unicamp - Artigos e Outros Documentos

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