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
收藏
页码：1290 / 1293
页数：4
相关论文
共 50 条
  • [1] Discrete-time linear filtering in arbitrary noise
    Li, XR
    Han, CZ
    Wang, J
    PROCEEDINGS OF THE 39TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5, 2000, : 1212 - 1217
  • [2] On discrete-time linear quadratic control
    Czornik, A
    SYSTEMS & CONTROL LETTERS, 1999, 36 (02) : 101 - 107
  • [3] On discrete-time linear quadratic control
    Czornik, Adam
    Systems and Control Letters, 1999, 36 (02): : 101 - 107
  • [4] Linear Quadratic Gaussian Control for Discrete-time Systems with Delay and Multiplicative Noise
    Liang, Xiao
    Xu, Juanjuan
    Zhang, Huanshui
    IFAC PAPERSONLINE, 2017, 50 (01): : 3847 - 3852
  • [5] Optimal linear-quadratic-Gaussian control for discrete-time linear systems with white and time-correlated measurement Noises
    Liu, Wei
    Shi, Peng
    Xie, Xiangpeng
    Yue, Dong
    Fei, Shumin
    OPTIMAL CONTROL APPLICATIONS & METHODS, 2021, 42 (05): : 1467 - 1486
  • [6] Quadratic Control of Linear Discrete-time Positive Systems
    Krokavec, Dusan
    Filasova, Anna
    2018 EUROPEAN CONTROL CONFERENCE (ECC), 2018, : 2879 - 2884
  • [7] Discrete-time decentralized linear quadratic control for linear time-varying systems
    Pedroso, Leonardo
    Batista, Pedro
    INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, 2023, 33 (01) : 67 - 101
  • [8] ON THE LINEAR QUADRATIC GAUSSIAN PROBLEM WITH CORRELATED NOISE AND ITS RELATION TO MINIMUM VARIANCE CONTROL
    KWONG, RH
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1991, 29 (01) : 139 - 152
  • [9] QUADRATIC PERFORMANCE CRITERIA WITH LINEAR TERMS IN DISCRETE-TIME CONTROL
    KLEINDORFER, GB
    KLEINDORFER, PR
    IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1967, AC12 (03) : 320 - +
  • [10] Cost smoothing in discrete-time linear-quadratic control
    Li, D
    Schmidt, CW
    AUTOMATICA, 1997, 33 (03) : 447 - 452
12345