- Tytuł:
- Optimal control for a nonstationary linear system with a quadratic cost functional
- Autorzy:
- Czornik, Adam
- Powiązania:
- https://bibliotekanauki.pl/articles/747535.pdf
- Data publikacji:
- 1997
- Wydawca:
- Polskie Towarzystwo Matematyczne
- Tematy:
-
Optimal stochastic control
Problems involving randomness
Linear-quadratic problems - Opis:
-
.
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. - Źródło:
-
Mathematica Applicanda; 1997, 26, 40
1730-2668
2299-4009 - Pojawia się w:
- Mathematica Applicanda
- Dostawca treści:
- Biblioteka Nauki
Artykuł