Explicit solution for a vector‐valued LQG homing problem

Explicit solution for a vector‐valued LQG homing problem

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Article ID: iaor20132050
Volume: 7
Issue: 3
Start Page Number: 607
End Page Number: 612
Publication Date: Mar 2013
Journal: Optimization Letters
Authors:
Keywords: quadratic control, vector optimization
Abstract:

In this note, a vector‐valued LQG homing problem subject to a controlled stock‐wealth process is formulated. Under certain conditions, the problem is solved explicitly via an auxiliary scalar LQG homing problem.

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