Discrete-Time Indefinite Stochastic Linear Quadratic Optimal Control with Second Moment Constraints

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Linear-Quadratic Control of Discrete-Time Stochastic Systems with Indefinite Weight Matrices and Mean-Field Terms

In this paper, the linear-quadratic optimal control problem is considered for discretetime stochastic systems with indefinite weight matrices in the cost function and mean-field terms in both the cost function and system dynamics. A set of generalized difference Riccati equations (GDREs) is introduced in terms of algebraic equality constraints and matrix pseudo-inverse. It is shown that the sol...

متن کامل

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 کامل

Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights

A standard assumption in traditional (deterministic and stochastic) optimal (minimizing) linear quadratic regulator (LQR) theory is that the control weighting matrix in the cost functional is strictly positive definite. In the deterministic case, this assumption is in fact necessary for the problem to be wellposed because positive definiteness is required to make it a convex optimization proble...

متن کامل

Linear quadratic problems with indefinite cost for discrete time systems

This paper deals with the discrete-time infinite-horizon linear quadratic problem with indefinite cost criterion. Given a discrete-time linear system, an indefinite costfunctional and a linear subspace of the state space, we consider the problem of minimizing the costfunctional over all inputs that force the state trajectory to converge to the given subspace. We give a geometric characterizatio...

متن کامل

Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

This paper considers optimal (minimizing) control of stochastic linear quadratic regulators (LQRs). The assumption that the control weight costs must be positive definite, inherited from the deterministic case, has been taken for granted in the literature. It is, however, shown in this paper that some stochastic LQR problems with indefinite (in particular, negative) control weight costs may sti...

متن کامل

ذخیره 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: Mathematical Problems in Engineering

سال: 2014

ISSN: 1024-123X,1563-5147

DOI: 10.1155/2014/278142