Performance bounds and suboptimal policies for linear stochastic control via LMIs
نویسندگان
چکیده
منابع مشابه
Performance Bounds and Suboptimal Policies for Linear Stochastic Control via LMIs
In a recent paper, the authors showed how to compute performance bounds for infinite horizon stochastic control problems with linear system dynamics and arbitrary constraints, objective, and noise distribution. In this paper we extend these results to the finite-horizon case, with asymmetric costs and constraint sets. The method is based on bounding the objective with a general quadratic functi...
متن کاملPerformance bounds and suboptimal policies for linear stochastic control via LMIs - Wang - 2010 - International Journal of Robust and Nonlinear Control - Wiley Online Library
In a recent paper, the authors showed how to compute performance bounds for infinite-horizon stochastic control problems with linear system dynamics and arbitrary constraints, objective, and noise distribution. In this paper, we extend these results to the finite-horizon case, with asymmetric costs and constraint sets. In addition, we derive our bounds using a new method, where we relax the Bel...
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ژورنال
عنوان ژورنال: International Journal of Robust and Nonlinear Control
سال: 2010
ISSN: 1049-8923
DOI: 10.1002/rnc.1665