Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 1035.49024
Rami, M. Ait; Chen, X.; Zhou, X. Y.
Discrete-time indefinite LQ control with state and control dependent noises. (English)
[J] J. Glob. Optim. 23, No. 3-4, 245-265 (2002). ISSN 0925-5001; ISSN 1573-2916/e

Summary: This paper deals with the discrete-time stochastic LQ problem involving state and control dependent noises, whereas the weighting matrices in the cost function are allowed to be indefinite. In this general setting, it is shown that the well-posedness and the attainability of the LQ problem are equivalent. Moreover, a generalized difference Riccati equation is introduced and it is proved that its solvability is necessary and sufficient for the existence of an optimal control which can be either of state feedback or open-loop form. Furthermore, the set of all optimal controls is identified in terms of the solution to the proposed difference Riccati equation.

MSC 2000:: *49N10 Linear-quadratic optimal control problems
93C55 Discrete-time control systems
49J55 Optimal stochastic control (existence)
93E20 Optimal stochastic control (systems)

Keywords: indefinite stochastic LQ control; discrete time; multiplicative noise; generalized difference Riccati equation; linear matrix inequality

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]