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Infinite horizon linear quadratic optimal control for discrete‐time stochastic systems
- Source :
- Asian Journal of Control; October 2008, Vol. 10 Issue: 5 p608-615, 8p
- Publication Year :
- 2008
-
Abstract
- This paper is concerned with the infinite horizon linear quadratic optimal control for discrete‐time stochastic systems with both state and control‐dependent noise. Under assumptions of stabilization and exact observability, it is shown that the optimal control law and optimal value exist, and the properties of the associated discrete generalized algebraic Riccati equation (GARE) are also discussed. Copyright © 2008 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control Society
Details
- Language :
- English
- ISSN :
- 15618625
- Volume :
- 10
- Issue :
- 5
- Database :
- Supplemental Index
- Journal :
- Asian Journal of Control
- Publication Type :
- Periodical
- Accession number :
- ejs17104824
- Full Text :
- https://doi.org/10.1002/asjc.61