Premium
Singular linear quadratic optimal control for singular stochastic discrete‐time systems
Author(s) -
Feng June,
Cui Peng,
Hou Zhongsheng
Publication year - 2012
Publication title -
optimal control applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.458
H-Index - 44
eISSN - 1099-1514
pISSN - 0143-2087
DOI - 10.1002/oca.2033
Subject(s) - optimal control , mathematics , discrete time and continuous time , singular solution , rank (graph theory) , stochastic control , singular control , dynamic programming , controller (irrigation) , quadratic equation , mathematical optimization , matrix (chemical analysis) , control theory (sociology) , control (management) , computer science , mathematical analysis , combinatorics , statistics , materials science , geometry , artificial intelligence , agronomy , composite material , biology
SUMMARY The finite time horizon singular linear quadratic (LQ) optimal control problem is investigated for singular stochastic discrete‐time systems. The problem is transformed into positive LQ one for standard stochastic systems via two equivalent transformations. It is proved that the singular LQ optimal control problem is solvable under two reasonable rank conditions. Via dynamic programming principle, the desired optimal controller is presented in terms of matrix iterative form. One simulation is provided to show the effectiveness of the proposed approaches. Copyright © 2012 John Wiley & Sons, Ltd.