Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 41926, 22 pages
Existence and uniqueness of constrained globally optimal
feedback controls in a linear-quadratic framework
Institute of Mathematics, Fudan University, Shanghai 200433, China
Received 14 January 2006; Revised 5 March 2006; Accepted 15 March 2006
Copyright © 2006 Yashan Xu. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
A constrained closed-loop optimal control problem is considered in
a linear-quadratic framework. To solve the problem, a special type
open-loop optimal control problem and a standard open-loop optimal
control problem are introduced and carefully studied, via which
the existence and uniqueness of the globally optimal closed-loop
control is established by a synthesis method.