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arXiv 0801.3888math.PRmath.OC
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半直线上带Dirichlet边界控制和噪声的heat equation的LQ问题

An LQ problem for the heat equation on the halfline with Dirichlet boundary control and noise

G. Fabbri, B. Goldys

摘要:

研究了半直线上热传导方程所支配的具有Dirichlet边界控制和Dirichlet边界噪声的线性二次型问题。我们证明了这个问题可以转化为一个加权L2空间中的随机发展方程。适当地选择权,可以使无穷维状态方程中的边界项具有更强的正则性。与相关的非随机问题的Riccati方程的直接解被用来找到反馈形式的问题的解,并写出问题的值函数。

英文摘要:

We study a linear quadratic problem for a system governed by the heat equation on a halfline with Dirichlet boundary control and Dirichlet boundary noise. We show that this problem can be reformulated as a stochastic evolution equation in a certain weighted L2 space. An appropriate choice of weight allows us to prove a stronger regularity for the boundary terms appearing in the infinite dimensional state equation. The direct solution of the Riccati equation related to the associated non-stochastic problem is used to find the solution of the problem in feedback form and to write the value function of the problem.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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