Title :
Infinite Horizon LQ Optimal Control for Discrete-Time Stochastic Systems
Author :
Huang, Yulin ; Zhang, Weihai ; Zhang, Huanshui
Author_Institution :
Sch. of Math. & Syst. Sci., Shandong Univ., Jinan
Abstract :
This paper is concerned with the infinite horizon linear quadratic (LQ) 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 algebraic Riccati equation (ARE) are also discussed
Keywords :
Riccati equations; discrete time systems; infinite horizon; linear quadratic control; matrix algebra; observability; stability; stochastic systems; control-dependent noise; discrete algebraic Riccati equation; discrete-time stochastic systems; exact observability; infinite horizon; linear quadratic optimal control; stabilization; state noise; Control systems; Indium tin oxide; Infinite horizon; Observability; Optimal control; Riccati equations; Stochastic resonance; Stochastic systems; Symmetric matrices; White noise; Discrete-time stochastic systems; exact observability; linear quadratic optimal control; stabilizability;
Conference_Titel :
Intelligent Control and Automation, 2006. WCICA 2006. The Sixth World Congress on
Conference_Location :
Dalian
Print_ISBN :
1-4244-0332-4
DOI :
10.1109/WCICA.2006.1712311
