Title :
Iterative Procedures in Application of the LQG Approach to Control Problems for Polynomial Stochastic Systems
Author :
Piotr Kaczynski;Leslaw Socha
Author_Institution :
Department of Mathematics and Natural Sciences, Cardinal Stefan Wyszyń
Abstract :
The problem of the determination of quasi-optimal control for polynomial stochastic dynamic systems using the LQG technique and linearization methods is considered. In this paper we present some sufficient conditions of convergence for iterative procedures used in evaluation of quasi-optimal control. Scalar and vector systems are treated separately. Obtained results are illustrated by numerical examples.
Keywords :
"Iterative methods","Control systems","Polynomials","Stochastic systems","Optimal control","Sufficient conditions","Riccati equations","Covariance matrix","Convergence","Symmetric matrices"
Journal_Title :
IEEE Transactions on Automatic Control
DOI :
10.1109/TAC.2010.2048476
