DocumentCode :
812153
Title :
A general dynamic programming solution of discrete-time linear optimal control problems
Author :
Dreyfus, S.E. ; Kan, Y.C.
Author_Institution :
University of California, Berekely, CA, USA
Volume :
18
Issue :
3
fYear :
1973
fDate :
6/1/1973 12:00:00 AM
Firstpage :
286
Lastpage :
289
Abstract :
An optimal control problem with linear dynamics and quadratic criterion is imbedded in a family of problems characterized by both initial and terminal points. The optimal value function is jointly quadratic in initial and terminal points, and the optimal control is jointly linear. Recursive formulas for the coefficients of these functions are developed. This generalized procedure can be used to solve several versions of the problem not solvable by the standard one-ended imbedding technique. In particular, a procedure doubling the number of stages at each iteration is given for problems with time-invariant coefficients.
Keywords :
Dynamic programming; Linear systems, time-varying discrete-time; Optimal control; Digital filters; Dynamic programming; Electric shock; Electrons; Frequency; Geophysics; Gold; Optimal control; Sampled data systems; Stability;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1973.1100318
Filename :
1100318
Link To Document :
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