Discrete Time Linear Quadratic Control With Arbitrary Correlated Noise

被引：7

作者：

Duncan, Tyrone E. ^{[1
]}

Pasik-Duncan, Bozenna ^{[1
]}

机构：

[1] Univ Kansas, Dept Math, Lawrence, KS 66045 USA

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 2013年 / 58卷 / 05期

关键词：

Continuous time linear quadratic control; discrete time linear quadratic control;

D O I：

10.1109/TAC.2012.2220444

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this technical note a control problem for a discrete time linear stochastic system with a general correlated noise process and a cost functional that is quadratic in the system state and the control is solved. An optimal control is given explicitly as the sum of the well known linear feedback control for the associated deterministic linear-quadratic control problem and the prediction of the response of a system to the future noise process. The optimal cost is also given explicitly.

引用

页码：1290 / 1293

页数：4

共 7 条

[1]

[Anonymous], 1961, Transactions of the American Institute of Electrical Engineers, Part II: Applications and Industry

[2]

Aoki M., 1967, Optimization of stochastic systems

[3] LINEAR-QUADRATIC CONTROL FOR STOCHASTIC EQUATIONS IN A HILBERT SPACE WITH FRACTIONAL BROWNIAN MOTIONS [J].

Duncan, T. E. ;

Maslowski, B. ;

Pasik-Duncan, B. .

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2012, 50 (01) :507-531

[4]

Duncan T. E., LINEAR QUADRATIC FRA

[5]

DUNCAN TE, 2010, P 49 IEEE C DEC CONT, P6163

[6]

Kalman R.E., 1958, Transactions of the ASME - Journal of Basic Engineering, V80, P1820

[7] Discrete time LQG controls with control dependent noise [J].

Moore, JB ;

Zhou, XY ;

Lim, AEB .

SYSTEMS & CONTROL LETTERS, 1999, 36 (03) :199-206

← 1 →