英文标题：
《Optimal Control of Constrained Stochastic Linear-Quadratic Model with
Applications》
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作者：
Weiping Wu and Jianjun Gao and Junguo Lu and Xun Li
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最新提交年份：
2018
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英文摘要：
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separation theorem induced from its special structure, we develop the explicit solution for this class of problem. The revealed optimal control policy is a piece-wise affine function of system state. This control policy can be computed efficiently by solving two Riccati equations off-line. Under some mild conditions, the stationary optimal control policy can be also derived for this class of problem with infinite horizon. This result can be used to solve the constrained dynamic mean-variance portfolio selection problem. Examples shed light on the solution procedure of implementing our method.
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中文摘要：
研究了一类具有线性控制约束的连续时间标量状态随机线性二次（LQ）最优控制问题。应用由其特殊结构导出的状态分离定理，我们得到了这类问题的显式解。所揭示的最优控制策略是系统状态的分段仿射函数。通过离线求解两个Riccati方程，可以有效地计算出该控制策略。在一些温和的条件下，对于这类具有无限时域的问题，也可以导出平稳最优控制策略。该结果可用于求解约束动态均值-方差投资组合问题。实例说明了实现我们的方法的求解过程。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Computer Science 计算机科学
二级分类：Systems and Control 系统与控制
分类描述：cs.SY is an alias for eess.SY. This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
cs.sy是eess.sy的别名。本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
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