...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>IEEE Transactions on Automatic Control >Linear matrix inequalities, Riccati equations, And indefinite stochastic linear quadratic controls
【24h】

Linear matrix inequalities, Riccati equations, And indefinite stochastic linear quadratic controls

机译：

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper is concerned with an optimal stochastic linear-quadratic (LQ) control problem in infinite time horizon, where the diffusion term in dynamics depends on both the state and the control variables. In contrast to the deterministic case, we allow the control and state weighting matrices in the cost functional to be indefinite. This leads to an indefinite LQ problem, which may still be well posed due to the deep nature of uncertainty involved. The problem gives rise to a stochastic algebraic Riccati equation (SARE), which is, however, fundamentally different from the classical algebraic Riccati equation as a result of the indefinite nature of the LQ problem. To analyze the SARE, we introduce linear matrix inequalities (LMI's) whose feasibility is shown to be equivalent to the solvability of the SARE. Moreover, we develop a computational approach to the SARE via a semidefinite programming associated with the LMI's. Finally, numerical experiments are reported to illustrate the proposed approach.

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号