Linear optimal stochastic control using instantaneous output feedback‡
作者:
P. J. McLANE§,
期刊:
International Journal of Control
(Taylor Available online 1971)
卷期:
Volume 13,
issue 2
页码: 383-396
ISSN:0020-7179
年代: 1971
DOI:10.1080/00207177108931951
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The problem of determining the linear feedback control of the instantaneous system output which minimizes a quadratic performance measure for a linear system with state and control-dependent noise is solved in this paper. Both the finite and infinite terminal time versions of this problem are treated. For the latter case, a sufficient condition for the existence of an optimal control is obtained. For the finite terminal time problem, it is shown that a two-point boundary value problem must be solved to realize the optimal control. For the infinite terminal time case, two non-linear matrix equations must be solved to realize the optimal control. Some discussion on the numerical methods used by the author to solve these equations is included in the paper.
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