Solution to Stochastic LQR Problem with Multiple Inputs

XU Juanjuan; LI Lin; ZHANG Huanshui

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Solution to Stochastic LQR Problem with Multiple Inputs

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This paper considers the stochastic linear quadratic regulation (LQR) problem for It(o) stochastic systems with multiple input controllers.The explicit controllers are given in terms of two Riccati equations by introducing one new costate and establishing the homogeneous relationship between the state and the new costate.More importantly,it is more computation saving for the derived Riccati equations than the one derived by augmentation technique.

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《系统科学与复杂性：英文版》 |2017年第3期|568-578|共11页
作者
XU Juanjuan; LI Lin; ZHANG Huanshui;
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School of Control Science and Engineering, Shandong University, Jinan 250061, China;

School of Control Science and Engineering, Shandong University, Jinan 250061, China;

School of Control Science and Engineering, Shandong University, Jinan 250061, China;

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Solution to Stochastic LQR Problem with Multiple Inputs

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