INFINITE HORIZON LINEAR QUADRATIC OPTIMAL CONTROL FOR DISCRETE-TIME STOCHASTIC SYSTEMS

被引：70

作者：

Huang, Yulin ^{[2
]}

Zhang, Weihai ^{[1
]}

Zhang, Huanshui ^{[3
]}

机构：

[1] Shandong Univ Sci & Technol, Coll Informat & Elect Engn, Qingdao 266510, Peoples R China

[2] Shandong Inst Light Ind, Sch Elect Informat & Control Engn, Jinan 250353, Peoples R China

[3] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China

来源：

ASIAN JOURNAL OF CONTROL | 2008年 / 10卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Discrete-time stochastic systems; linear quadratic optimal control; exact observability; stabilizability;

D O I：

10.1002/asjc.61

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper is concerned With the infinite horizon linear quadratic optimal control for discrete-time stochastic systems with both state and control-dependent noise. Under assumptions of stabilization and exact observability. it is shown that the optimal control law and optimal value exist, and the properties of the associated discrete generalized algebraic Riccati equation (GARE) are also discussed.

引用

页码：608 / 615

页数：8

共 15 条

[1]

Anderson B.D.O., 1989, Optimal Control: Linear Quadratic Methods

[2]

Athans M., 1971, IEEE T AUTOMAT CONTR, V16, P527

[3] Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations [J].

Beghi, A ;

D'Alessandro, D .

AUTOMATICA, 1998, 34 (08) :1031-1034

[4] Stochastic H2/H∞ control with state-dependent noise [J].

Chen, BS ;

Zhang, WH .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2004, 49 (01) :45-57

[5] Stochastic linear quadratic regulators with indefinite control weight costs [J].

Chen, SP ;

Li, XJ ;

Zhou, XY .

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1998, 36 (05) :1685-1702

[6]

El Bouhtouri A, 1999, INT J ROBUST NONLIN, V9, P923, DOI 10.1002/(SICI)1099-1239(199911)9:13<923::AID-RNC444>3.0.CO

[7]

2-2

[8]

Kalman R. E., 1960, Bolet ln de la Sociedad Matematica Mexicana, V5, P102, DOI DOI 10.1109/9780470544334.CH8

[9]

Lewis F.L., 1986, OPTIMAL CONTROL

[10] Discrete-time indefinite LQ control with state and control dependent noises [J].

Rami, MA ;

Chen, X ;

Zhou, XY .

JOURNAL OF GLOBAL OPTIMIZATION, 2002, 23 (3-4) :245-265

← 1 2 →