Title :
Linear-quadratic control with general noise processes
Author :
Duncan, T.E. ; Pasik-Duncan, B.
Author_Institution :
Dept. of Math., Univ. of Kansas, Lawrence, KS, USA
Abstract :
In this paper a direct approach is used to obtain explicit optimal controls for control problems for linear systems with general noise processes and quadratic cost functionals. An optimal control is determined by a sum of the well known linear feedback control from the associated deterministic linear-quadratic control problem and a prediction of the response of the dual optimal system to the future noise.
Keywords :
cost optimal control; feedback; linear quadratic control; linear systems; deterministic linear-quadratic control problem; dual optimal system; explicit optimal controls; general noise processes; linear feedback control; linear systems; quadratic cost functionals; Brownian motion; Equations; Mathematical model; Noise; Optimal control; Process control; Standards;
Conference_Titel :
Decision and Control (CDC), 2014 IEEE 53rd Annual Conference on
Conference_Location :
Los Angeles, CA
Print_ISBN :
978-1-4799-7746-8
DOI :
10.1109/CDC.2014.7039408
