Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon

This paper is concerned with a stochastic linear-quadratic (LQ) problem in an infinite time horizon with multiplicative noises both in the state and the control. A distinctive feature of the problem under consideration is that the cost weighting matrices for the state and the control are allowed to be indefinite. A new type of algebraic Riccati equation – called a generalized algebraic Riccati equation (GARE) – is introduced which involves a matrix pseudo-inverse and two additional algebraic equality/inequality constraints. It is then shown that the well-posedness of the indefinite LQ problem is equivalent to a linear matrix inequality (LMI) condition, whereas the attainability of the LQ problem is equivalent to the existence of a “stabilizing solution” to the GARE. Moreover, all possible optimal controls are identified via the solution to the GARE. Finally, it is proved that the solution to the GARE can be obtained via solving a convex optimization problem called semidefinite programming.     

Infinite horizon linear quadratic differential games for discrete-time stochastic systems

This paper deals with the infinite horizon linear quadratic(LQ)differential games for discrete-time stochastic systems with both state and control dependent noise.The Popov-Belevitch-Hautus(PBH)criteria for exact observability and exact detectability of discrete-time stochastic systems are presented.By means of them,we give the optimal strategies (Nash equilibrium strategies)and the optimal cost values for infinite horizon stochastic differential games.It indicates that the infinite horizon LQ stochastic differential games are associated with four coupled matrix-valued equations.Furthermore, an iterative algorithm is proposed to solve the four coupled equations.Finally,an example is given to demonstrate our results.     

Infinite horizon linear quadratic optimal control for discrete‐time stochastic systems

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     

Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems

A new approach to study the indefinite stochastic linear quadratic (LQ) optimal control problems, which we called the “equivalent cost functional method”, is introduced by Yu (2013) in the setup of Hamiltonian system. On the other hand, another important issue along this research direction, is the possible state feedback representation of optimal control and the solvability of associated indefinite stochastic Riccati equations. As the response, this paper continues to develop the equivalent cost functional method by extending it to the Riccati equation setup. Our analysis is featured by its introduction of some equivalent cost functionals which enable us to have the bridge between the indefinite and positive-definite stochastic LQ problems. With such bridge, some solvability relation between the indefinite and positive-definite Riccati equations is further characterized. It is remarkable the solvability of the former is rather complicated than the latter, hence our relation provides some alternative but useful viewpoint. Consequently, the corresponding indefinite linear quadratic problem is discussed for which the unique optimal control is derived in terms of state feedback via the solution of the Riccati equation. In addition, some example is studied using our theoretical results.     

Singular optimal control for stochastic linear quadratic singular system using ant colony programming

In this article, singular optimal control for stochastic linear singular system with quadratic performance is obtained using ant colony programming (ACP). To obtain the optimal control, the solution of matrix Riccati differential equation is computed by solving differential algebraic equation using a novel and nontraditional ACP approach. The obtained solution in this method is equivalent or very close to the exact solution of the problem. Accuracy of the solution computed by the ACP approach to the problem is qualitatively better. The solution of this novel method is compared with the traditional Runge Kutta method. An illustrative numerical example is presented for the proposed method.     

Constrained control for uncertain discrete-time linear systems

In this paper the problem of stabilizing uncertain linear discrete-time systems under state and control linear constraints is studied. Many formulations of this problem have been given in the literature. Here we consider the case of finding a linear state feedback control law making a given polytope in the state space positively invariant while the control remains bounded within prefixed values under the effect of all the uncertainty sequences belonging to a given polytope in the perturbations space. A necessary and sufficient condition for the existence of a solution of this problem is first given. This condition leads to a set of linear constraints which can be solved using linear programming tecniques by defining an appropriate objective function. A worked example shows the effectiveness of the proposed algorithm. © 1998 John Wiley & Sons, Ltd.     

具有乘性噪声的线性离散时间随机控制系统综述

具有乘性噪声的随机不确定系统的控制问题有着广泛的应用背景. 本文概述了具有乘性噪声的线性离散时间随机系统的稳定性分析、均方镇定、最优控制以及最优估计问题和相关结论. 同时, 本文研究了具有状态与控制乘性噪声的线性多变量离散时间系统的均方镇定和最优控制问题, 分析了这两个问题之间的联系, 并讨论了最优状态反馈控制器的设计算法.     

Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems

In this paper we consider the stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The performance criterion is assumed to be formed by a linear combination of a quadratic part and a linear part in the state and control variables. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a necessary and sufficient condition under which the problem is well posed and a state feedback solution can be derived from a set of coupled generalized Riccati difference equations interconnected with a set of coupled linear recursive equations. For the case in which the quadratic-term matrices are non-negative, this necessary and sufficient condition can be written in a more explicit way. The results are applied to a problem of portfolio optimization.     

线性多时滞不确定离散时间线性系统的时滞相关H∞控制

讨论了线性多时滞不确定离散时间线性系统的时滞相关H_∞控制问题．首先,建立了一个基于二次型项的有限和不等式．然后,利用这一不等式,采用Lyapunov-Krasovskii泛函方法,获得了系统不仅内部稳定而且具有给定的H_∞性能的时滞相关条件,同时以LMI的形式给出了无记忆H_∞控制器的设计方法．最后,数值例子说明了本文方法的有效性．     

Nonstationary discrete-time deterministic and stochastic control systems with infinite horizon

This article is about nonstationary nonlinear discrete-time deterministic and stochastic control systems with Borel state and control spaces, possibly noncompact control constraint sets, and unbounded costs. The control problem is to minimise an infinite-horizon total cost performance index. Using dynamic programming arguments we show that, under suitable assumptions, the optimal cost functions satisfy optimality equations, which in turn give a procedure to find optimal control policies.     

线性随机系统有限时间H∞ 控制

讨论一类具有时变、有限能量外部扰动的线性随机系统有限时间H∞控制问题．首先,给出了线性随机系统有限时间如控制问题的定义;然后,通过构造Lyapunov-Krasovskii函数,并结合线性矩阵不等式,给出了随机系统有限时间如控制器有解的充分条件;进一步,将该问题简化为具有线性矩阵不等式约束的优化问题,并给出了相应的求解算法;最后,通过数值算例表明了该设计方法的有效性．     

区间时滞相关离散非线性系统的鲁棒模型预测控制

针对一类带有扰动、输入约束和凸多面体不确定性的区间时滞离散非线性系统, 提出一种鲁棒模型预测控制方法. 一方面, 利用min-max 模型预测控制求解鲁棒模型预测控制器, 以研究鲁棒预测控制在范数有界意义下的扰动抑制问题; 另一方面, 充分利用时滞的上下界信息构造Lyapunov 函数以得到控制器存在的充分条件. 最后给出了闭环系统鲁棒稳定性证明.     

离散广义系统的严格耗散分析与控制

对离散广义系统,考虑了关于二次型供给率严格耗散控制问题.建立了严格耗散与扩展严格正实之间的等价性.利用线性矩阵不等式(LMI),给出了离散广义系统严格耗散的充分必要条件,并着重推导了其成立的严格LMI条件.针对输入向量维数等丁状态向量维数的系统,分别利用非严格LMI及严格LMI,讨论了状态反馈下的严格耗散控制问题,并给出控制器的设计方法.也讨论了输入向量维数小于状态向量维数的情况.最后通过仿真算例说明所给方法的有效性和普遍性,同时显示了严格LMI条件在耗散控制问题中,比非严格LMI具有的优势.     

结构不确定离散系统的最优非脆弱保成本控制

讨论了一类不确定线性离散系统的最优非脆弱保成本控制问题.考虑的系统和状态反馈控制器均具有时变的结构化的不确定性.基于线性矩阵不等式的方法,给出了存在和设计非脆弱保成本控制律的一个充分条件,以及在使二次成本函数上界最小意义下,最优非脆弱保成本控制律的凸优化设计方法.并用数值例子说明该方法降低了成本函数上界的保守性.     

A new approach to static output feedback stabilization of linear dynamic systems

The topic of this study is output feedback control of linear control system with output. Use of condensed forms of the linear system under static output feedback (SOF) control is made to derive sufficient conditions for stabilization. A minimal-order control-free observer is presented.     

Infinite horizon optimal control of linear discrete time systems with stochastic parameters

The infinite horizon optimal control problem is considered in the general case of linear discrete time systems and quadratic criteria, both with stochastic parameters which are independent with respect to time. A stronger stabilizability property and a weaker observability property than usual for deterministic systems are introduced. It is shown that the infinite horizon problem has a solution if the system has the first property. If in addition the problem has the second property the solution is unique and the control system is stable in the mean square sense. A simple necessary and sufficient condition, explicit in the system matrices, is given for the system to have the stronger stabilizability property. This condition also holds for deterministic systems to be stabilizable in the usual sense. The stronger stabilizability and weaker observability properties coincide with the usual ones if the parameters are deterministic.     

Optimal control of discrete-time linear fractional-order systems with multiplicative noise

A finite horizon linear quadratic (LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique, two methods are proposed for solving this problem. The first one seems to be new and uses a linear, expanded-state model of the LFS. The LQ optimal control problem reduces to a similar one for stochastic linear systems and the solution is obtained by solving Riccati equations. The second method appeals to the principle of optimality and provides an algorithm for the computation of the optimal control and cost by using directly the fractional system. As expected, in both cases, the optimal control is a linear function in the state and can be computed by a computer program. A numerical example and comparative simulations of the optimal trajectory prove the effectiveness of the two methods. Some other simulations are obtained for different values of the fractional order.     

On discrete-time linear quadratic control

The discrete-infinite time stochastic control system with complete observation is considered with quadratic cost functional when the coefficients of the system and cost functional are not time-invariant. It has been shown that the optimal control law has the form of time invariant feedback under the assumption that the coefficients have limits as time tends to infinity. In addition, asymptotic property of the solution of the difference Riccati equation with time-varying coefficients are established.     

线性离散时滞系统的输出反馈耗散控制

考虑线性离散时滞系统的二次型耗散控制问题,设计动态输出反馈使闭环系统渐近稳定且严格二次型耗散.先将系统严格二次型耗散性转化为线性矩阵不等式的可解性,得到了系统渐近稳定且严格二次型耗散的条件.然后讨论输出反馈耗散控制问题,给出了控制器的存在条件,总结出了控制器的综合方法、步骤.所得结果可为离散时滞系统的无源控制和H∞控制提供统一框架,也为离散时滞系统的分析和设计提供了一种更灵活、保守性更小的方法.