Title :
Closed-loop optimal control law for discrete-time LQG problems with a mean-variance objective
Author :
Li, Duan ; Qian, Fucai
Author_Institution :
Dept. of Syst. Eng. & Eng. Manage., Chinese Univ. of Hong Kong, Shatin, China
Abstract :
The classical linear-quadratic Gaussian problem is reexamined in this paper with a purpose to better control the dispersion of its randomly valued performance index. A closed-loop optimal control law is derived for discrete time linear-quadratic Gaussian problems with a mean-variance objective, by developing a nested form of the variance and using nonlinear mathematical programming as a solution scheme.
Keywords :
closed loop systems; discrete time systems; linear quadratic Gaussian control; nonlinear programming; optimal control; closed-loop optimal control law; discrete-time LQG problems; linear-quadratic Gaussian problems; mean-variance objective; nonlinear mathematical programming; randomly valued performance index; Control systems; Control theory; Linear systems; Mathematical programming; Open loop systems; Optimal control; Performance analysis; Stochastic processes; Stochastic systems; Symmetric matrices;
Conference_Titel :
Decision and Control, 2004. CDC. 43rd IEEE Conference on
Print_ISBN :
0-7803-8682-5
DOI :
10.1109/CDC.2004.1428731
