On the linear-quadratic regulator problem in one-dimensional linear fractional stochastic systems

被引：9
|
作者：
Sadeghian, Hoda [1 ]
Salarieh, Hassan [1 ]
Alasty, Aria [1 ]
Meghdari, Ali [1 ]
机构：
[1] Sharif Univ Technol, Ctr Excellence Design Robot & Automat, Dept Mech Engn, Tehran, Iran
来源：
AUTOMATICA | 2014年 / 50卷 / 01期
关键词：
Stochastic control; Fractional systems; Optimal control (algorithm and software); GENERAL FORMULATION; NUMERICAL SCHEME; EQUATIONS;
D O I：
10.1016/j.automatica.2013.09.003
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, for one-dimensional stochastic linear fractional systems in terms of the Riemann-Liouville fractional derivative, the optimal control is derived. It is assumed that the state is completely observable and all the information regarding this is available. The formulation leads to a set of stochastic fractional forward and backward equation in the Riemann-Liouville sense. The proposed method has been checked via some numerical simulations which show the effectiveness of the fractional stochastic optimal algorithm. (C) 2013 Elsevier Ltd. All rights reserved.
引用
收藏
页码：282 / 286
页数：5
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