Performance-First Control for Discrete-Time LQG Problems

Author

Li, Duan ; Qian, Fucai ; Gao, Jianjun

Author_Institution

Dept. of Syst. Eng. & Eng. Manage., Chinese Univ. of Hong Kong, Hong Kong, China

Volume

54

Issue

9

fYear

2009

Firstpage

2225

Lastpage

2230

Abstract

Performance-first control for discrete-time LQG is considered in this paper to minimize the probability that the performance index exceeds a preselected threshold via constructing a closed-loop feedback control law. This problem can be converted into a mean-variance control problem which can be solved by developing a nested form of the variance and using polynomial optimization as a solution scheme.

Keywords

closed loop systems; discrete time systems; feedback; linear quadratic Gaussian control; optimisation; performance index; -loop feedback control law; discrete-time LQG problems; discrete-time linear quadratic Gaussian control problems; mean-variance control problem; performance index; performance-first control; polynomial optimization; Automatic control; Control theory; Feedback control; Investments; Linear programming; Optimal control; Performance analysis; Polynomials; Portfolios; Stochastic processes; Symmetric matrices; Dynamic programming; linear-quadratic Gaussian problem; mean-variance analysis; performance-first control; polynomial optimization; stochastic optimal control;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/TAC.2009.2026850

Filename

5208189