A backward scalar or matrix recurrence for the quadratic coefficients in a value function for a linear-quadratic optimal control problem. It results from completing the control square in the Bellman equation. Multiplicative noise modifies the quadratic coefficients through its second moments.

Ancestors (8)

  1. Linear-quadratic optimal control
  2. Hamilton-Jacobi-Bellman equation
  3. Bellman equation
  4. Dynamic programming
  5. Mathematical optimization
  6. Area of mathematics
  7. Mathematics
  8. Home

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