| Article ID: | iaor20163590 |
| Volume: | 77 |
| Issue: | 10 |
| Start Page Number: | 1756 |
| End Page Number: | 1767 |
| Publication Date: | Oct 2016 |
| Journal: | Automation and Remote Control |
| Authors: | Palamarchuk E |
| Keywords: | stochastic processes, programming: linear, optimization |
The optimality criteria used in the problem of stochastic linear regulator over an infinite time horizon were analyzed. A certain criterion for long‐run average and pathwise ergodic were shown to be inefficient with regard for the disturbance factor. Consideration was given to a new criterion of the extended long‐run average and its use in the discounted control systems.