Infinite horizon linear quadratic optimal control for discrete‐time stochastic systems |
| |
| Authors: | Yulin Huang Weihai Zhang Huanshui Zhang |
| |
| Affiliation: | 1. School of Electronic Information and Control Engineering, Shandong Institute of Light Industry, Jinan 250353, China;2. College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266510, China;3. School of Control Science and Engineering, Shandong University, Jinan 250061, China |
| |
| Abstract: | 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 |
| |
| Keywords: | Discrete‐time stochastic systems linear quadratic optimal control exact observability, stabilizability |
|
|
