Infinite Horizon LQ Optimal Control for Discrete-Time Stochastic Systems

Huanshui Zhang Huanshui Zhang,Weihai Zhang Weihai Zhang,Yulin Huang Yulin Huang

doi:10.1109/wcica.2006.1712311

Infinite Horizon LQ Optimal Control for Discrete-Time Stochastic Systems

Huanshui Zhang Huanshui Zhang, Weihai Zhang Weihai Zhang + Show 1 more

https://doi.org/10.1109/wcica.2006.1712311

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Publication Date: Jan 1, 2006

Citations: 31

Affiliation: Harbin Institute of Technology, Shenzhen University, Fujian Research Institute of Light Industry

#Control For Discrete-time Stochastic Systems #Control-dependent Noise + Show 8 more

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Abstract

This paper is concerned with the infinite horizon linear quadratic (LQ) optimal control for discrete-time stochastic systems with both state and control-dependent noise. Under assumptions of stabilization and exact observability, it is shown that the optimal control law and optimal value exist, and the properties of the associated discrete algebraic Riccati equation (ARE) are also discussed.

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