| 离散时间不定号随机线性二次型最优控制:无限时区情形 |
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| 引用本文： | 祁军军,张维海.离散时间不定号随机线性二次型最优控制:无限时区情形[J].自动化学报,2009,35(5):613-617. |
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| 作者姓名： | 祁军军 张维海 |
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| 作者单位： | 1.山东大学数学与系统科学学院 济南 250100 |
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| 摘 要： | 应用渐近分析方法讨论了无限时区离散时间不定号随机线性二次型最优控制问题. 所进行的研究是建立在这一问题有限时区情形结果和系统均方能镇定假设基础之上的. 广义代数Riccati方程(GARE)解的一些性质也得到了考虑. 最后提供了两个例子来说明所推出的结果是有效的.
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| 关 键 词： | 均方镇定性 广义Lyapunov不等式 广义代数Riccati方程 |
| 收稿时间： | 2007-7-12 |
| 修稿时间： | 2008-6-15 |
Discrete-time Indefinite Stochastic LQ Optimal Control: Infinite Horizon Case |
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| QI Jun-Jun, ZHANG Wei-Hai.School of Mathematics , System Sciences,Sh,ong University,Jinan ,P.R.China .College of Information , Electrical Engineering,Sh,ong University of Science , Technology,Qingdao ,P.R.China.Discrete-time Indefinite Stochastic LQ Optimal Control: Infinite Horizon Case[J].Acta Automatica Sinica,2009,35(5):613-617. |
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| Authors: | QI Jun-Jun ZHANG Wei-HaiSchool of Mathematics System Sciences Sh ong University Jinan PRChina College of Information Electrical Engineering Sh ong University of Science Technology Qingdao PRChina |
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| Affiliation: | 1.School of Mathematics and System Sciences, Shandong University, Jinan 250100, P.R. China;2.College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266510, P.R. China |
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| Abstract: | The asymptotic analysis method is applied to the infinite horizon discrete-time indefinite stochastic LQ problem. This paper carries out the research on the basis of the results 0f its finite horizon counterpart and the mean-square stabilizing assumption.Properties of the solutions to the generedized edge-bredc Riccati equation(GARE)are also considered.Finally,two examples are provided tojnstify the developed theory. |
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| Keywords: | Mean-square stabilization generalized Lyapunov inequality(GLI) generalized algebraic Riccati equation(GARE) |
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