Coupled matrix Riccati equations in minimal cost variance controlproblems

We present an algorithm for the solution of a nontrivial coupled system of algebraic Riccati equations appearing in risk sensitive control problems. Moreover, we use comparison methods to derive non-blowup conditions for the solutions of a corresponding terminal value problem for coupled systems of Riccati differential equations     

Global optimal fuzzy tracker design based on local concept approach

In this paper, we propose a global optimal fuzzy tracking controller, implemented by fuzzily blending the individual local fuzzy tracking laws, for continuous and discrete-time fuzzy systems with the aim of solving, respectively, the continuous and discrete-time quadratic tracking problems with moving or model-following targets under finite or infinite horizon (time). The differential or recursive Riccati equations, and more, the differential or difference equations in tracing the variation of the target, are derived. Moreover, in the case of time-invariant fuzzy tracking systems, we show that the optimal tracking controller can be obtained by just solving algebraic Riccati equations and algebraic matrix equations. Grounding on this, several fascinating characteristics of the resultant closed-loop continuous or discrete time-invariant fuzzy tracking systems can be elicited easily. The stability of both closed-loop fuzzy tracking systems can be ensured by the designed optimal fuzzy tracking controllers. The optimal closed-loop fuzzy tracking systems cannot only be guaranteed to be exponentially stable, but also be stabilized to any desired degree. Moreover, the resulting closed-loop fuzzy tracking systems possess infinite gain margin; that is, their stability is guaranteed no matter how large the feedback gain becomes. Two examples are given to illustrate the performance of the proposed optimal fuzzy tracker design schemes and to demonstrate the proved stability properties     

On closed form solutions for the differential matrix Riccati equation problem

A new formulation of the differential matrix Riccati equation is presented and a closed analytical solution is obtained under the hypothesis that certain commutativity conditions are fulfilled on a transformed space. The formulation generalizes the results of [1] on algebraic equations to differential matrix Riccati equations. To illustrate the usefulness of the method, a closed analytical solution of the differential matrix Riccati equation is obtained inR^{2 times 2}.     

线性Markov 切换系统的随机Nash 微分博弈及混合H2/H∞ 控制

研究线性Markov切换系统的随机Nash微分博弈问题。首先借助线性Markov切换系统随机最优控制的相关结果,得到了有限时域和无线时域Nash均衡解的存在条件等价于其相应微分(代数) Riccati方程存在解,并给出了最优解的显式形式;然后应用相应的微分博弈结果分析线性Markov切换系统的混合H2/H∞控制问题;最后通过数值算例验证了所提出方法的可行性。     

Some new results on algebraic Riccati equations arising in linear quadratic differential games and the stabilization of uncertain linear systems

This paper presents some new results on algebraic Riccati equations arising in linear quadratic differential games. The first result is a uniqueness result for solutions of the Riccati equations under consideration. The second result is concerned with Riccati equations which arise in differential games in which the weighting on the minimizing control is allowed to approach zero. It is shown that if a certain minimum phase condition is satisfied then the corresponding solution to the Riccati equation will also approach zero.     

有限时间二次型数值算法研究及其应用

为了实际需要和学术发展的要求,研究了以倒立摆为控制对象,通过闭环网络形成的反馈控制系统的随机传输时延的最优控制问题。在求解有限时间最优控制律过程中,通过矩阵Raccati方程的离散变换,利用Matlab中计算无限时间二次型最优控制器的LQR函数,从而求出有限时间LQR问题的数值解。通过仿真结果证明,研究的方法能够使倒立摆系统最终稳定,从而说明提出的算法对于求解有限时间LQR问题是有效的。     

Criterion for the convergence of the solution of the Riccati differential equation

The optimal control problem for a linear system with a quadratic cost function leads to the matrix Riccati differential equation. The convergence of the solution of this equation for increasing time interval is investigated as a function of the final state penalty matrix. A necessary and sufficient condition for convergence is derived for stabilizable systems, even if the output in the cost function is not detectable. An algorithm is developed to determine the limiting value of the solution, which is one of the symmetric positive semidefinite solutions of the algebraic Riccati equation. Examples for convergence and nonconvergence are given. A discussion is also included of the convergence properties of the solution of the Riccati differential equation to any real symmetric (not necessarily positive semidefinite) solution of the algebraic Riccati equation.     

Event-triggered control for semi-global stabilisation of systems with actuator saturation

This paper investigates the problem of event-triggered control for semi-global stabilisation of null controllable systems subject to actuator saturation. First, for a continuous-time system, novel event-triggered low-gain control algorithms based on Riccati equations are proposed to achieve semi-global stabilisation. The algebraic Riccati equation with a low-gain parameter is utilised to design both the event-triggering condition and the linear controller; a minimum inter-event time based on the Riccati ordinary differential equation is set a priori to exclude the Zeno behaviour. In addition, the high–low gain techniques are utilised to extend the semi-global results to event-based global stabilisation. Furthermore, for a discrete-time system, novel low-gain and high–low-gain control algorithms are proposed to achieve event-triggered stabilisation. Numerical examples are provided to illustrate the theoretical results.     

Stabilization of linear autonomous systems of differential equations with distributed delay

Consideration is given to the problem of optimal stabilization of differential equation systems with distributed delay. The optimal stabilizing control is formed according to the principle of feedback. The formulation of the problem in the functional space of states is used. It was shown that coefficients of the optimal stabilizing control are defined by algebraic and functional-differential Riccati equations. To find solutions to Riccati equations, the method of successive approximations is used. The problem for this control law and performance criterion is to find coefficients of a differential equation system with distributed delay, for which the chosen control is a control of optimal stabilization. A class of control laws for which the posed problem admits an analytic solution is described.     

A method for optimal control and filtering of multitime-scale linear singularly-perturbed stochastic systems

In this paper we introduce a transformation for the exact closed-loop decomposition of the optimal Kalman filter and the linear quadratic optimal controller of multi time scale continuous-time, linear, singularly-perturbed stochastic systems. The solution of the corresponding algebraic regulator and filter Riccati equations are obtained in terms of solutions of reduced-order subsystem, algebraic, Riccati equations corresponding to the system time scales. We have also obtained N completely independent reduced-order subsystem Kalman filters working in parallel in different time scales. This allows parallel processing of information with lower-order, different rates Kalman filters consistent with the system time scales.     

A new approach to distributed control for multi-agent systems based on approximate upper and lower bounds

In this paper, the distributed control of the LQR problem for continuous-time multi-agent systems is considered. Based on the centralized optimal control, we prove that the solution of the algebraic Riccati equation is the maximal solution of the algebraic Riccati inequality. The algebraic relations of the solutions of the algebraic Riccati equations for different weighted matrices are shown and two distributed controllers are designed: the fully distributed one and the interconnected distributed one. They can provide an upper bounds and a lower bounds of the centralized optimal cost function. The optimal closed-loop feedback control systems for the two distributed controllers are also asymptotically stable. Some examples are given to show the correctness of the proposed results.     

CONTROL OF INTERCONNECTED JUMPING SYSTEMS: AN H∞ APPROACH

This paper investigates, by using an approach, the problems of stochastic stability and control for a class of interconnected systems with Markovian jumping parameters. Both cases of finite‐ and infinite‐horizon are studied. It is shown that the problems under consideration can be solved if a set of coupled differential or algebraic Riccati equations are solvable.     

New Riccati equations for well-posed linear systems

We consider the classic problem of minimizing a quadratic cost functional for well-posed linear systems over the class of inputs that are square integrable and that produce a square integrable output. As is well-known, the minimum cost can be expressed in terms of a bounded nonnegative self-adjoint operator X that in the finite-dimensional case satisfies a Riccati equation. Unfortunately, the infinite-dimensional generalization of this Riccati equation is not always well-defined. We show that X always satisfies alternative Riccati equations, which are more suitable for algebraic and numerical computations.     

Infinite time horizon nonzero-sum linear quadratic stochastic differential games with state and control-dependent noise

This paper discusses the infinite time horizon nonzero-sum linear quadratic （LQ） differential games of stochastic systems governed by Itoe＇s equation with state and control-dependent noise. First, the nonzero-sum LQ differential games are formulated by applying the results of stochastic LQ problems. Second, under the assumption of mean-square stabilizability of stochastic systems, necessary and sufficient conditions for the existence of the Nash strategy are presented by means of four coupled stochastic algebraic Riccati equations. Moreover, in order to demonstrate the usefulness of the obtained results, the stochastic H-two/H-infinity control with state, control and external disturbance-dependent noise is discussed as an immediate application.     

一类不确定动态时滞系统的无记忆鲁棒镇定控制

针对状态和控制均存在滞后,同时具有未知且有界的一类时变不确定线性时滞系 统,提出了一种无记忆鲁棒镇定控制器设计算法.给出了闭环系统二次稳定的充分条件,并利 用一等价线性时不变系统的H∞标准问题综合方法来构造出所需的线性状态反馈控制律,即 可通过求解一代数Riccati型方程来求得控制律静态增益阵,从而保证了解的存在性和可解 性.     

具有对称循环结构的大系统Riccati方程的求解

本文研究了具有对称循环结构的大系统的代数Ｒｉｃｃａｔｉ方程和Ｌｙａｐｕｎｏｖ矩阵方程的求解问题，结果表明，这类系统的代数Ｒｉｃｃａｔｉ方程和Ｌｙｐａｐｕｎｏｖ矩阵方程的求解问题可以简化为求解Ｎ／２＋１个独立的低阶方程，做为一个应用，这类系统的二次型最优控制问题和鲁棒二次型最优控制问题也可以简化。     

Lyapunov iterations for optimal control of jump linear systems atsteady state

In this paper we construct a sequence of Lyapunov algebraic equations,whose solutions converge to the solutions of the coupled algebraic Riccati equations of the optimal control problem for jump linear systems. The obtained solutions are positive semidefinite, stabilizing, and unique. The proposed algorithm is extremely efficient from the numerical point of view since it operates only on the reduced-order decoupled Lyapunov equations, Several examples are included to demonstrate the procedure     

LQ (optimal) control of hyperbolic PDAEs

The linear quadratic control synthesis for a set of coupled first-order hyperbolic partial differential and algebraic equations is presented by using the infinite-dimensional Hilbert state-space representation of the system and the well-known operator Riccati equation (ORE) method. Solving the algebraic equations and substituting them into the partial differential equations (PDEs) results in a model consisting of a set of pure hyperbolic PDEs. The resulting PDE system involves a hyperbolic operator in which the velocity matrix is spatially varying, non-symmetric, and its eigenvalues are not necessarily negative through of the domain. The C₀-semigroup generation property of such an operator is proven and it is shown that the generated C₀-semigroup is exponentially stable and, consequently, the ORE has a unique and non-negative solution. Conversion of the ORE into a matrix Riccati differential equation allows the use of a numerical scheme to solve the control problem.