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Minimax decisions in some problems of control with many sources of disturbances

100%

Grzybowski A.

Mathematica Applicanda

1989

tom 17

nr 31

In the paper, a stochastic system with many sources of disturbances is considered. These disturbances have distributions belonging to the exponential family with some unknown parameters. Moreover, it is assumed that a control is disturbed too. A horizon of control is a random variable with a known distribution. Under some additional assumptions the problem of Bayes and minimax control of such system is solved.

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

80%

Czornik A.

Mathematica Applicanda

1997

tom 26

nr 40

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.

Ograniczanie wyników

2 Mathematica Applicanda

1 Czornik A.

1 Grzybowski A.

1 1997

1 1989

Wyniki wyszukiwania

Minimax decisions in some problems of control with many sources of disturbances

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