Optimal control for controllable stochastic linear systems

被引：9

作者：

Bi, Xiuchun ^{[1
]}

Sun, Jingrui ^{[2
]}

Xiong, Jie ^{[2
,3
]}

机构：

[1] Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Anhui, Peoples R China

[2] Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China

[3] Southern Univ Sci & Technol, SUSTech Int Ctr Math, Shenzhen 518055, Guangdong, Peoples R China

来源：

ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS | 2020年 / 26卷

关键词：

Linear-quadratic; optimal control; controllability; controllability Gramian; Lagrange multiplier; optimal parameter; Riccati equation; QUADRATIC CONTROL;

D O I：

10.1051/cocv/2020027

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 a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of stochastic linear systems is studied. Then the optimal control is explicitly obtained by considering a parameterized unconstrained backward LQ problem and an optimal parameter selection problem. A notable feature of our results is that, instead of solving an equation involving derivatives with respect to the parameter, the optimal parameter is characterized by a matrix equation.

引用

页数：23

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