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

被引：72

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

[11] Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls [J].

Rami, MA ;

Chen, X ;

Moore, JB ;

Zhou, XY .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2001, 46 (03) :428-440

[12] ON SEPARATION THEOREM OF STOCHASTIC CONTROL [J].

WONHAM, WM .

SIAM JOURNAL ON CONTROL, 1968, 6 (02) :312-&

[13] INFINITE HORIZON QUADRATIC OPTIMAL-CONTROL OF A CLASS OF NONLINER STOCHASTIC-SYSTEMS [J].

YAZ, E .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1989, 34 (11) :1176-1180

[14]

Zhang Wei-hai, 2003, Control Theory & Applications, V20, P637

[15] On stabilizability and exact observability of stochastic systems with their applications [J].

Zhang, WH ;

Chen, BS .

AUTOMATICA, 2004, 40 (01) :87-94

← 1 2 →