Title :
Mean-variance control for discrete-time LQG problems
Author :
Li, Duan ; Qian, Fucai ; Fu, Peilin
Author_Institution :
Dept. of Syst. Eng. & Eng. Manage., Chinese Univ. of Hong Kong, Shatin, China
Abstract :
A mean-variance optimal control is considered in this paper for discrete-time linear-quadratic Gaussian problems with a purpose to better control the dispersion of the randomly valued performance index. By using an embedding scheme to overcome the nonseparability in variance minimization, an analytical optimal open-loop feedback control law is obtained.
Keywords :
discrete time systems; dynamic programming; linear quadratic Gaussian control; minimisation; open loop systems; performance index; stochastic systems; analytical control law; discrete-time LQG problems; dispersion control; dynamic programming; embedding scheme; linear-quadratic Gaussian problems; mean-variance control; nonseparability; optimal open-loop feedback control law; randomly valued performance index; stochastic control; variance minimization; Boundary conditions; Control theory; Councils; Equations; Gaussian noise; Open loop systems; Optimal control; Performance analysis; Stochastic processes; White noise;
Conference_Titel :
American Control Conference, 2003. Proceedings of the 2003
Print_ISBN :
0-7803-7896-2
DOI :
10.1109/ACC.2003.1240539
