Journal of Applied Mathematics and Stochastic Analysis 
Volume 2006 (2006), Article ID 41926, 22 pages
doi:10.1155/JAMSA/2006/41926

Existence and uniqueness of constrained globally optimal feedback controls in a linear-quadratic framework

Yashan Xu

 Institute of Mathematics, Fudan University, Shanghai 200433, China
Received 14 January 2006; Revised 5 March 2006; Accepted 15 March 2006

Abstract

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.