Minimum second moment state for the existence of average optimal stationary policies in linear stochastic systems

Author(s)

Vargas, Alessandro N. ; do Val, Joao B. R. ; IEEE

• Document type: Journal article
• Source: 2010 AMERICAN CONTROL CONFERENCE; v. N/A, p. 5-pg., 2010-01-01.

Abstract

This note considers the long-run average cost control problem for a class of discrete-time stochastic systems. The stochastic system is assumed to be linear with respect to the state but the controls possess a general structure, possibly a nonlinear one. The main contribution of this paper is to show that the existence of a minimal second moment system state implies the existence of an optimal stationary policy for the long-run average cost problem. A numerical example illustrates the derived result. (AU)

• FAPESP's process: 03/06736-7 - Control and filtering of Markovian jumping parameters stochastic systems
• Grantee: João Bosco Ribeiro do Val
• Support Opportunities: Research Projects - Thematic Grants