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The aim of this section is to find the optimal feedback strategy to our portfolio optimization problem (25)–(25).
Based on discretization of trajectory and optimization of control outputs, an approach to design optimal feedback control algorithm is presented.
Fig. 1 Optimal feedback loop.
Section 2 gives the optimal feedback model.
Let Θ be an optimal feedback operator for Problem (SLQ).
Suppose there exists another optimal feedback operator ( widetilde Theta (cdot)).
We next characterize the optimal feedback strategy in this state.
We next characterize the optimal feedback strategy satisfying (31).
We study instantaneous and infinite horizon sparse optimal feedback controllers.
This paper describes several techniques for deriving optimal feedback compensators for structural waveguides at junctions.
They gave the optimal feedback control by the solution of a stochastic Riccati equation.
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