Title :
Optimal Control with Nonquadratic Criteria for Stochastic Linear Systems
Author_Institution :
Sch. of Math. Sci., Fudan Univ., Shanghai, China
Abstract :
This paper deals with nonquadratic criteria for LTI stochastic systems. Under the assumption of convexity of index function, we discuss both open-loop and closed-loop optimal controls. We expressed the optimal control by nonlinear feedback form that depends on the solutions of quasi-Riccati equations. Finally I give an example to show this approach.
Keywords :
Riccati equations; closed loop systems; feedback; linear systems; nonlinear control systems; open loop systems; optimal control; stochastic systems; LTI stochastic systems; closed-loop optimal control; index function convexity; nonlinear feedback; nonquadratic criteria; open-loop optimal control; quasiRiccati equations; stochastic linear systems; Feedback; IEEE catalog; Linear systems; Nonlinear equations; Optimal control; Stochastic systems; Linear Systems; Nonquadratic Criteria; Stochastic Optimal Control; quasi-Riccati equations;
Conference_Titel :
Control Conference, 2006. CCC 2006. Chinese
Conference_Location :
Harbin
Print_ISBN :
7-81077-802-1
DOI :
10.1109/CHICC.2006.280693
