Uncertain optimal control of linear quadratic models with jump

  • Deng L
  • Zhu Y
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Abstract

Based on the uncertain optimal control with jump, in this paper, we study a kind of special uncertain optimal control problem: linear-quadratic (LQ) uncertain optimal control problem with jump which has a quadratic objective function for a linear uncertain control system with jump. We obtain a necessary and sufficient condition for the existence of optimal control. As an application, we discuss an uncertain LQ optimal control problem for the enterprize's investment decisions. © 2012 Elsevier Ltd.

Author-supplied keywords

  • Enterprize's investment decisions
  • Equation of optimality
  • Necessary and sufficient conditions
  • Principal of optimality
  • Uncertain LQ optimal control with jump

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