Premium
Infinite horizon linear quadratic optimal control for discrete‐time stochastic systems
Author(s) -
Huang Yulin,
Zhang Weihai,
Zhang Huanshui
Publication year - 2008
Publication title -
asian journal of control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.769
H-Index - 53
eISSN - 1934-6093
pISSN - 1561-8625
DOI - 10.1002/asjc.61
Subject(s) - observability , algebraic riccati equation , stochastic control , optimal control , linear quadratic gaussian control , discrete time and continuous time , riccati equation , mathematics , linear quadratic regulator , algebraic number , control (management) , state (computer science) , control theory (sociology) , quadratic equation , mathematical optimization , computer science , differential equation , mathematical analysis , algorithm , statistics , geometry , artificial intelligence
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 Society