Optimal control for a nonstationary linear system with a quadratic cost functional

• Autorzy: Adam Czornik
• Języki publikacji: EN

Abstrakty

EN

This paper is about optimal control of infinite-horizon nonstationary stochastic linear processes with a quadratic cost criterion. The synthesis problem of optimal control is solved under the assumptions that the criterion is an average expected cost and that the process' matrices possess limits for the time approaching infinity. Furthermore, the limit matrices are such that the "limit" process is both observable and controllable. The paper documents existence of an optimal feedback control policy. The policy is such that the gain matrix is a (scaled) solution to a Riccati stationary matrix equation. The equation is stationary in that its coefficients are the limits of the process' non-stationary matrices.

PL

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Słowa kluczowe

EN

Optimal stochastic control; Problems involving randomness; Linear-quadratic problems

• Wydawca: Polish Mathematical Society
• Czasopismo: Mathematica Applicanda
• Rocznik: 1997
• Tom: 26
• Numer: 40

Daty

wydano

1997

online

2016-10-28

Twórcy

autor

Adam Czornik

Identyfikatory

DOI

10.14708/ma.v26i40.1854