标题:Stochastic LQR of Linear Systems with Multiple Input Channels
作者:Xu Juanjuan; Xie Lihua; Zhang Huanshui
通讯作者:Xu, JJ;Xu, JJ
作者机构:[Xu Juanjuan; Zhang Huanshui] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Shandong, Peoples R China.; [Xu Juanjuan; Xie Lihua] Nanyang Tech 更多
会议名称:35th Chinese Control Conference (CCC)
会议日期:JUL 27-29, 2016
来源:PROCEEDINGS OF THE 35TH CHINESE CONTROL CONFERENCE 2016
出版年:2016
页码:1787-1792
关键词:Stochastic LQR; Multiple Input; Game Approach; Riccati Equation
摘要:In this paper, we study the stochastic linear quadratic regulation problem for linear discrete-time systems with multiple input channels. A necessary and sufficient condition is obtained by applying the leader-follower game approach. Different from the augmentation technique, the complete solution is given in terms of one difference Riccati equation and one Riccati-type equation. The key is to introduce a new costate and completely solve the forward-backward stochastic difference equation by establishing a homogeneous relationship between the new costate which is backward and the original state which is forward. It is noted that the problem is more complicated than the deterministic case because of the state-and control-dependent noises.
收录类别:CPCI-S
资源类型:会议论文
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