Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations
type: Item
instance of: scholarly article
title: Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations
zbMATH Open document ID: 0944.93032
DOI: 10.1016/S0005-1098(98)00044-2
author: Alessandro Beghi
author: Domenico D'Alessandro
published in: Automatica
publication date: 1999-08-22T00:00:00Z
review text: The optimal control law is derived for discrete-time linear stochastic systems with quadratic performance criterion and control-dependent noise. The linear operator used for determining the stability of the second moments equation is different from the one used for showing the convergence of the generalized Riccati difference equation. This is a consequence of having explicitly modelled the noise dependence on the control. It is shown how this treatment leads to explicit conditions for solvability of the control problem. Moreover, the control law derived in this way leads to a system theoretic interpretation as a compromise between stability and optimality.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C55
Mathematics Subject Classification ID: 49N10
zbMATH DE Number: 1325627
zbMATH Keywords: LQG control
zbMATH Keywords: discrete-time systems
zbMATH Keywords: control-dependent noise
zbMATH Keywords: explicit conditions
reviewed by: Ryszard Gessing
MaRDI profile type: Publication
full work available at URL: s0005-1098(98)00044-2
OpenAlex ID: W1996731752
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description: scientific article; zbMATH DE number 1325627