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Approximate solutions to infinite dimensional LQ problems over infinite time horizon

Science China Mathematics 2006年第7期49卷 865-876页

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 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

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.

关键词： approximate solution LQ problem infinite dimensional infinite time hori-

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