Title :
On the Dynamic Programming approach to multi-model robust optimal control problems
Author :
Azhmyakov, V. ; Boltyanski, V.G. ; Poznyak, A.S.
Author_Institution :
Dept. de Control Automatico, CINVESTAV, Mexico City
Abstract :
The aim of this paper is to extend the dynamic programming (DP) approach to multi-model optimal control problems (OCPs). We deal with robust optimization of multi-model control systems and are particularly interested in the Hamilton-Jacobi-Bellman (HJB) equation for the above class of problems. In this paper, we study a variant of the HJB for multi-model OCPs and examine the natural relationship between the Bellman DP techniques and the robust maximum principle (MP) (Boltyanski and Poznyak, 1999). Moreover, we describe a concept for practical calculations in the context of multi-model LQ-problems and derive the associated Riccati-type equation.
Keywords :
Riccati equations; dynamic programming; optimal control; robust control; Bellman DP techniques; Hamilton-Jacobi-Bellman equation; Riccati-type equation; dynamic programming; multimodel LQ-problems; multimodel control systems; multimodel robust optimal control problems; robust maximum principle; robust optimization; Automatic control; Circuits; Control system synthesis; Control systems; Differential equations; Dynamic programming; Optimal control; Riccati equations; Robust control; Robustness;
Conference_Titel :
American Control Conference, 2008
Conference_Location :
Seattle, WA
Print_ISBN :
978-1-4244-2078-0
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2008.4587199
