Hybrid Optimal LQG Tracking Control for Linear Discrete-Time Systems by Simultaneous Optimization Approach of System States and Mode Distributions

Abstract

In this paper, we study optimal LQG tracking control problems for linear discrete-time hybrid systems. We adopt an approach to prepare some candidates of mode distributions and minimize value functions at each time for the systems and performance indices. By the approach, system states and mode distributions are simultaneously optimized so that performance indices are minimized for causal information of reference signals. We consider optimization problems for averaged systems and averaged performance indices throughout mode distributions. Finally, we give numerical examples and verify that we can obtain both optimal tracking performance and optimal candidate of mode distributions by the algorithm presented in this paper.