Successive method for general multiple linear-quadratic control problem in discrete time

Author

Liao, Li-Zhi ; Li, Duan

Author_Institution

Dept. of Math., Hong Kong Baptist Univ., Kowloon, China

Volume

45

Issue

7

fYear

2000

fDate

7/1/2000 12:00:00 AM

Firstpage

1380

Lastpage

1385

Abstract

A successive method is proposed for the general multiple linear-quadratic control problem in discrete time. A family of auxiliary parametric linear-quadratic control problems is constructed such that its solution sequence converges to the optimal solution of the original problem. Theoretical analysis for the computational procedure and global convergence of the successive method is provided. The successive method utilizes the special structure of the problem, thus being computationally efficient and being able to furnish a closed-loop optimal control law

Keywords

closed loop systems; convergence; discrete time systems; linear quadratic control; matrix algebra; closed-loop optimal control law; general multiple linear-quadratic control problem; global convergence; parametric linear-quadratic control problems; solution sequence; successive method; Automatic control; Control systems; Councils; Mathematics; Minimax techniques; Optimal control; Research and development management; System performance; Systems engineering and theory;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.867059

Filename

867059