Approximate solutions to infinite dimensional LQ problems over infinite time horizon

作     者：PAN Liping, ZHANG Xu & CHEN Qihong School of Mathematical Sciences, Fudan University, Shanghai 200433, China School of Mathematics, Sichuan University, Chengdu 610064, China Department of Applied Mathematics, Shanghai University of Finance & Economics, Shanghai 200433, China 

作者机构：School of Mathematical Sciences Fudan University Shanghai China School of Mathematics Sichuan University Chengdu China Department of Applied Mathematics Shanghai University of Finance & Economics Shanghai China 

出 版 物：《Science China Mathematics》 (中国科学：数学（英文版）)

年 卷 期：2006年第49卷第7期

页      面：865-876页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：This work was partially supported by the National Natural Science Foundation of China(Grant Nos.10171059,10371084&10525105) the National Natural Science Foundation of Spain(Grant No.MTM2005-00714) the Program for New Century Excellent Talents in University of China(Grant No.NCET-04-0882) the Foundation for the Author of National Excellent Doctoral Dissertation of China(Grant Nos.200119&200218) 

主　　题：approximate solution LQ problem infinite dimensional infinite time hori- 

摘      要：This paper is addressed to develop an approximate method to solve a class of infinite dimensional LQ optimal regulator problems over infinite time horizon. Our algorithm is based on a construction of approximate solutions which solve some finite dimensional LQ optimal regulator problems over finite time horizon, and it is shown that these approximate solutions converge strongly to the desired solution in the double limit sense.