infinite time
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Ying Hu ◽  
Xiaomin Shi ◽  
Zuo Quan Xu

This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic Riccati equations (ESREs) on infinite time horizon are introduced. The existence of the nonnegative solutions, in both standard and singular cases, is proved through a sequence of ESREs on finite time horizon. Based on this result and some approximation techniques, we obtain the optimal state feedback control and optimal value for the stochastic LQ problem explicitly. Finally, we apply these results to solve a lifetime portfolio selection problem of tracking a given wealth level with regime switching and portfolio constraint.

2021 ◽  
Yadong Shu ◽  
Bo Li

Abstract In this work, an uncertain switched system expressed as a series of uncertain differential equations is considered in depth. Stability issues have been widely investigated on switched systems while few results related to stability analysis for uncertain switched systems can be found. Due to such fact, three different stabilities, including stability in measure, almost sure stability and stability in mean, are comprehensively studied for linear uncertain switched systems in infinite-time domain. Internal property of the systems is able to be illustrated from different perspectives with the help of above stability analysis. By employing uncertainty theory and the feature of switched systems, corresponding judgement theorems of these stabilities are proposed and verified. An example with respect to stability in measure is provided to display the validness of the results derived.

2021 ◽  
Vol 11 (22) ◽  
pp. 10714
Sławomir Stępień ◽  
Paulina Superczyńska

This paper presents modeling and infinite-time suboptimal control of a quadcopter device using the state-dependent Riccati equation (SDRE) method. It establishes a solution to the control problem using SDRE and proposes a new procedure for solving the problem. As a new contribution, the paper proposes a modified SDRE-based suboptimal control technique for affine nonlinear systems. The method uses a pseudolinearization of the closed-loop system employing Moore–Penrose pseudoinverse. Then, the algebraic Riccati equation (ARE), related to the feedback compensator gain, is reduced to state-independent form, and the solution can be computed only once in the whole control process. The ARE equation is applied to the problem reported in this study that provides general formulation and stability analysis. The effectiveness of the proposed control technique is demonstrated through the use of simulation results for a quadrotor device.

Carlos Escudero

AbstractIn this work we consider a nonlinear parabolic higher order partial differential equation that has been proposed as a model for epitaxial growth. This equation possesses both global-in-time solutions and solutions that blow up in finite time, for which this blow-up is mediated by its Hessian nonlinearity. Herein, we further analyze its blow-up behaviour by means of the construction of explicit solutions in the square, the disc, and the plane. Some of these solutions show complete blow-up in either finite or infinite time. Finally, we refine a blow-up criterium that was proved for this evolution equation. Still, existent blow-up criteria based on a priori estimates do not completely reflect the singular character of these explicit blowing up solutions.

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