Title :
Discrete-time indefinite LQ control with state and control dependent noises
Author :
Rami, M. Ait ; Chen, X. ; Zhou, X.Y.
Author_Institution :
Dept. of Syst. Eng. & Eng. Manage., Chinese Univ. of Hong Kong, Shatin, China
Abstract :
This paper deals with the discrete-time stochastic LQ problem involving state and control dependent noises, whereas the weighting matrices in the cost function are allowed to be indefinite. We show that the well-posedness and the attainability of the LQ problem are equivalent. Furthermore, the set of all optimal controls is identified in terms of the solution to a generalized difference Riccati equation
Keywords :
Riccati equations; difference equations; discrete time systems; linear quadratic control; noise; stochastic systems; attainability; control dependent noises; discrete-time indefinite LQ control; generalized difference Riccati equation; indefinite weighting matrices; optimal controls; state dependent noises; stochastic LQ control; well-posedness; Additive noise; Bismuth; Control systems; Cost function; Difference equations; Open loop systems; Optimal control; Riccati equations; Stochastic resonance; Stochastic systems;
Conference_Titel :
Decision and Control, 2001. Proceedings of the 40th IEEE Conference on
Conference_Location :
Orlando, FL
Print_ISBN :
0-7803-7061-9
DOI :
10.1109/.2001.981058
