Numerical Approximation of the LQ-Control of Stochastic Parabolic Equations

B. Rehák (Czech Republic)

Keywords

LQ-optimal control, Heat-Transfer Equation, Stochastic Process, Finite-Difference Method, Riccati Equation.

Abstract

We study the finite-difference discretization of the Riccati equation arising from the LQ-control problem for the heat transfer equation with random parameters.

Important Links:

• DOI:
• From Proceeding (350) Modelling, Identification, and Control - 2002

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