Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time
نویسندگان
چکیده
منابع مشابه
Optimal Finite-time Control of Positive Linear Discrete-time Systems
This paper considers solving optimization problem for linear discrete time systems such that closed-loop discrete-time system is positive (i.e., all of its state variables have non-negative values) and also finite-time stable. For this purpose, by considering a quadratic cost function, an optimal controller is designed such that in addition to minimizing the cost function, the positivity proper...
متن کاملHaar Matrix Equations for Solving Time-Variant Linear-Quadratic Optimal Control Problems
In this paper, Haar wavelets are performed for solving continuous time-variant linear-quadratic optimal control problems. Firstly, using necessary conditions for optimality, the problem is changed into a two-boundary value problem (TBVP). Next, Haar wavelets are applied for converting the TBVP, as a system of differential equations, in to a system of matrix algebraic equations...
متن کاملTime-Inconsistent Discrete-Time Stochastic Linear-Quadratic Optimal Control: Time-consistent Solutions
In this paper, the time-consistent solutions of a timeinconsistent discrete-time stochastic linear-quadratic optimal control are investigated. Different from the existing literature, the definiteness constraint is not posed on the state and the control weight matrices of the cost functional. Necessary and sufficient conditions are, respectively, obtained to the existence of the open-loop time-c...
متن کاملCharacterization of optimal feedback for stochastic linear quadratic control problems
One of the fundamental issues in Control Theory is to design feedback controls. It is well-known that, the purpose of introducing Riccati equations in the study of deterministic linear quadratic control problems is exactly to construct the desired feedbacks. To date, the same problem in the stochastic setting is only partially well-understood. In this paper, we establish the equivalence between...
متن کاملDUALITY AND DECOMPOSITION FOR EXTENDED LINEAR-QUADRATIC STOCHASTIC CONTROL PROBLEMS IN DISCRETE TIME y
New dual problems emphasizing decomposability are established for a general class of stochastic dynamic optimization problems, with piecewise linearquadratic objective function. Optimality conditions are derived which emphasize decomposition. The dual dynamics are conditioned on the available system state information, and this leads to a symmetry that is well-suited to computational methods suc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 1990
ISSN: 0363-0129,1095-7138
DOI: 10.1137/0328046