Performance bounds for linear stochastic control
نویسندگان
چکیده
منابع مشابه
Performance bounds for linear stochastic control
Wedevelop computational bounds onperformance for causal state feedback stochastic controlwith linear dynamics, arbitrary noise distribution, and arbitrary input constraint set. This can be very useful as a comparison with the performance of suboptimal control policies, which we can evaluate using Monte Carlo simulation. Our method involves solving a semidefinite program (a linear optimization p...
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ژورنال
عنوان ژورنال: Systems & Control Letters
سال: 2009
ISSN: 0167-6911
DOI: 10.1016/j.sysconle.2008.10.004