Constrained infinite-time quadratic optimal control: the linear stochastic and nonlinear deterministic cases

Author

Chmielewski, D. ; Manousiouthakis, V.

Author_Institution

Dept. of Chem. Eng., California Univ., Los Angeles, CA, USA

Volume

4

fYear

1998

fDate

21-26 Jun 1998

Firstpage

2093

Abstract

In this work, we study the infinite-time quadratic optimal control problem for linear stochastic and nonlinear deterministic systems with input constraints (CITLSQOC, CITNDQOC). First, we develop conditions under which separability and certainty equivalence hold for the CITLSQOC problem. Necessary and sufficient conditions are presented for the existence of optimal solutions, and global closed-loop stability is shown to be guaranteed for both the full state information and the partial state information cases. Finally, the CITNDQOC problem is shown to be equivalent to a finite-time problem for all constrained stabilizable initial conditions and to yield a stabilizing feedback law

Keywords

closed loop systems; feedback; nonlinear control systems; optimal control; stability; stochastic systems; CITLSQOC; CITNDQOC; certainty equivalence; constrained infinite-time quadratic optimal control; finite-time problem; global closed-loop stability; input constraints; linear stochastic system; necessary and sufficient conditions; nonlinear deterministic system; separability; stabilizable initial conditions; stabilizing feedback law; Cost function; Covariance matrix; Gaussian noise; Hydrogen; Kalman filters; Optimal control; Riccati equations; State feedback; Stochastic processes; Stochastic resonance;

fLanguage

English

Publisher

ieee

Conference_Titel

American Control Conference, 1998. Proceedings of the 1998

Conference_Location

Philadelphia, PA

ISSN

0743-1619

Print_ISBN

0-7803-4530-4

Type

conf

DOI

10.1109/ACC.1998.702996

Filename

702996