论文信息 - Higher moments in the linear-quadratic-gaussian problem

Higher moments in the linear-quadratic-gaussian problem

Abstract A generalization of the linear-quadratic-Gaussian problem is discussed. This provides a family of control rules, which result in different combinations of moments of the quadratic payoff. A method of approximating higher moments of the payoff is given. A recursive formula for calculating the second moment is derived. A dynamic optimal tariff example illustrates the methods.

Larry S. Karp

[1] S. R. Liberty,et al. Design-performance-measure statistics for stochastic linear control systems , 1978 .

[2] Stanley R. Liberty,et al. On the Essential Quadratic Nature of LQC Control-Performance Measure Cumulants , 1976, Inf. Control..

[3] Rhodes,et al. Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games , 1973 .

[4] Franklin A. Graybill,et al. Theory and Application of the Linear Model , 1976 .

[5] D. Jacobson,et al. Optimization of stochastic linear systems with additive measurement and process noise using exponential performance criteria , 1974 .

[6] L. Karp,et al. Dynamic Games and International Trade: An Application to the World Corn Market , 1983 .

[7] S. Karlin,et al. A second course in stochastic processes , 1981 .

[8] E. C. Macrae. Matrix Derivatives with an Application to an Adaptive Linear Decision Problem , 1974 .

[9] P. Dhrymes. Mathematics for econometrics , 1978 .