Infinite horizon linear quadratic optimal control for discrete‐time stochastic systems
Authors:
- 15 October 2008
- journal article
- research article
- Published by Wiley in Asian Journal of Control
- Vol. 10 (5) , 608-615
Abstract
This paper is concerned with the infinite horizon linear quadratic optimal control for discrete‐time stochastic systems with both state and control‐dependent noise. Under assumptions of stabilization and exact observability, it is shown that the optimal control law and optimal value exist, and the properties of the associated discrete generalized algebraic Riccati equation (GARE) are also discussed. Copyright © 2008 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control SocietyKeywords
This publication has 9 references indexed in Scilit:
- Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent NoiseIEEE Transactions on Automatic Control, 2004
- On stabilizability and exact observability of stochastic systems with their applicationsAutomatica, 2004
- Discrete-time Indefinite LQ Control with State and Control Dependent NoisesJournal of Global Optimization, 2002
- Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controlsIEEE Transactions on Automatic Control, 2001
- H∞-type control for discrete-time stochastic systemsInternational Journal of Robust and Nonlinear Control, 1999
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight CostsSIAM Journal on Control and Optimization, 1998
- Discrete-Time Optimal Control with Control-Dependent Noise and Generalized Riccati Difference EquationsAutomatica, 1998
- Infinite horizon quadratic optimal control of a class of nonlinear stochastic systemsIEEE Transactions on Automatic Control, 1989
- On the Separation Theorem of Stochastic ControlSIAM Journal on Control, 1968