Abstract
The parametric linear quadratic (PLQ) control problem is considered for discrete-time stochastic systems. The control problem consists of a non-linear optimization problem in the parameters of a linear regulator. Results on global convergence and on rate of convergence are given for the linear-descent mapping method for solving the optimal regulator parameter values. Furthermore a non-linear mapping method based on the solution of a generalized discrete Riccati equation is given. The PLQ control problem is a useful extension of the optimal output feedback problem with applications to the design of low-order regulators, decentralized control and adaptive control.
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