Stochastic Linear Quadratic Optimal Control with Indefinite Control Weights and Constraint for Discrete-Time Systems

被引：0
|
作者：
Liu, Xikui [1 ]
Li, Guiling [1 ]
Li, Yan [1 ]
机构：
[1] Shandong Univ Sci & Technol, Coll Math & Syst Sci, Qingdao 266510, Shandong, Peoples R China
来源：
MATHEMATICAL PROBLEMS IN ENGINEERING | 2015年 / 2015卷
关键词：
STATE; EQUATION;
D O I：
10.1155/2015/476545
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
The Karush-Kuhn-Tucker (KKT) theorem is used to study stochastic linear quadratic optimal control with terminal constraint for discrete-time systems, allowing the control weighting matrices in the cost to be indefinite. A generalized difference Riccati equation is derived, which is different from those without constraint case. It is proved that the well-posedness and the attainability of stochastic linear quadratic optimal control problem are equivalent. Moreover, an optimal control can be denoted by the solution of the generalized difference Riccati equation.
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页数：11
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