Abstract
The paper is devoted to the problem of stabilizing a linear stochastic control system. The quadratic cost functional measures the total loss caused by deviation from the fixed (target) levels and control trajectories, as well as a decision-maker’s time preferences expressed in the discount function. The long-term impacts of the use of decision-making, optimal on average, over an infinite-time horizon are taken as estimates of the deviation of the optimal trajectory from its target in the mean square sense and with the probability of 1.
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Original Russian Text © E.S. Palamarchuk, 2015, published in Matematicheskoe Modelirovanie, 2015, Vol. 27, No. 1, pp. 3–15.
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Palamarchuk, E.S. Stabilization of linear stochastic systems with a discount: Modeling and estimation of the long-term effects from the application of optimal control strategies. Math Models Comput Simul 7, 381–388 (2015). https://doi.org/10.1134/S2070048215040080
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DOI: https://doi.org/10.1134/S2070048215040080