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Matematicheskoe modelirovanie, 2015, Volume 27, Number 1, Pages 3–15 (Mi mm3560)  
This article is cited in 10 scientific papers (total in 10 papers)

Stabilization of linear stochastic systems with a discount: modeling and estimation of the long-term effects from the application of optimal control strategies

E. S. Palamarchukab

a The Central Economics and Mathematics Institute of Russian Academy of Sciences
b National Research University Higher School of Economics
Full-text PDF (319 kB) Citations (10)
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Abstract: We consider a problem of stabilization of linear stochastic control systems. The quadratic cost functional measures the total loss resulting from deviation of the process and control from their target levels. It includes the decision maker’s time preference expressed by means of discount function. We study the long-run impacts of average optimal policies in terms of mean-square deviation of optimal trajectory from its target and also in an almost-sure sense.
Keywords: stabilization of linear systems, quadratic cost, time preference, discount function, infinite-time horizon.
Funding agency Grant number
Ministry of Education and Science of the Russian Federation 14.A12.31.007
НИР 1.1859.2011
Russian Foundation for Basic Research 10-01-00767
Received: 10.03.2014
English version:
Mathematical Models and Computer Simulations, 2015, Volume 7, Issue 4, Pages 381–388
DOI: https://doi.org/10.1134/S2070048215040080
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
Citation: E. S. Palamarchuk, “Stabilization of linear stochastic systems with a discount: modeling and estimation of the long-term effects from the application of optimal control strategies”, Mat. Model., 27:1 (2015), 3–15; Math. Models Comput. Simul., 7:4 (2015), 381–388
Citation in format AMSBIB
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\by E.~S.~Palamarchuk
\paper Stabilization of linear stochastic systems with a~discount: modeling and estimation of the long-term effects from the application of optimal control strategies
\jour Mat. Model.
\yr 2015
\vol 27
\issue 1
\pages 3--15
\mathnet{http://mi.mathnet.ru/mm3560}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=3374881}
\elib{https://elibrary.ru/item.asp?id=23421460}
\transl
\jour Math. Models Comput. Simul.
\yr 2015
\vol 7
\issue 4
\pages 381--388
\crossref{https://doi.org/10.1134/S2070048215040080}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84937809280}
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    • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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