Stochastic Linear Quadratic Optimal Control for Discrete-time Systems with Inequality Constraint and Markovian Jumps

DOI

10.2991/iccmcee-15.2015.284How to use a DOI?

Keywords

Linear quadratic optimal control; Discrete-time system; Indefinite control weights; Markovian jumps

Abstract

This paper primarily discusses the linear quadratic optimal control problem for discrete-time stochastic sys- tems with indefinite control weights and constraint and Markovian jumps. We use the Karush-Kuhn-tucker (KKT) theorem basically in this paper. It is testified that the well- posedness and the attainability are equivalent about the stochastic linear quadratic optimal control problem with Markovian jumps. Furthermore, the solution of the generalized difference Riccati equation (GDRE) can indicate an optimal control.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - WenYing Wang
AU  - ZhiMing Zhang
AU  - Running Miao
PY  - 2015/11
DA  - 2015/11
TI  - Stochastic Linear Quadratic Optimal Control for Discrete-time Systems with Inequality Constraint and Markovian Jumps
BT  - Proceedings of the 2015 4th International Conference on Computer, Mechatronics, Control and Electronic Engineering
PB  - Atlantis Press
SP  - 1528
EP  - 1536
SN  - 2352-5401
UR  - https://doi.org/10.2991/iccmcee-15.2015.284
DO  - 10.2991/iccmcee-15.2015.284
ID  - Wang2015/11
ER  -