Infinite Horizon LQ Optimal Control for Discrete-Time Stochastic Systems

Author

Huang, Yulin ; Zhang, Weihai ; Zhang, Huanshui

Author_Institution

Sch. of Math. & Syst. Sci., Shandong Univ., Jinan

Volume

1

fYear

0

fDate

0-0 0

Firstpage

252

Lastpage

256

Abstract

This paper is concerned with the infinite horizon linear quadratic (LQ) optimal control for discrete-time stochastic systems with both state and control-dependent noise. Under assumptions of stabilization and exact observability, it is shown that the optimal control law and optimal value exist, and the properties of the associated discrete algebraic Riccati equation (ARE) are also discussed

Keywords

Riccati equations; discrete time systems; infinite horizon; linear quadratic control; matrix algebra; observability; stability; stochastic systems; control-dependent noise; discrete algebraic Riccati equation; discrete-time stochastic systems; exact observability; infinite horizon; linear quadratic optimal control; stabilization; state noise; Control systems; Indium tin oxide; Infinite horizon; Observability; Optimal control; Riccati equations; Stochastic resonance; Stochastic systems; Symmetric matrices; White noise; Discrete-time stochastic systems; exact observability; linear quadratic optimal control; stabilizability;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Control and Automation, 2006. WCICA 2006. The Sixth World Congress on

Conference_Location

Dalian

Print_ISBN

1-4244-0332-4

Type

conf

DOI

10.1109/WCICA.2006.1712311

Filename

1712311