Optimal control for linear discrete-time systems with Markov perturbations in Hilbert spaces

被引：8
|
作者：
Ungureanu, Viorica Mariela [1 ]
机构：
[1] Constantin Brancusi Univ Tirgu Jiu, Tg Jiu, Gorj, Romania
来源：
IMA JOURNAL OF MATHEMATICAL CONTROL AND INFORMATION | 2009年 / 26卷 / 01期
关键词：
discrete-time stochastic systems; stochastic observability; Riccati equation; optimal control; UNIFORM EXPONENTIAL STABILITY; OBSERVABILITY;
D O I：
10.1093/imamci/dnp001
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 article, we discuss a quadratic control problem for linear discrete-time systems with Markov perturbations in Hilbert spaces, which is linked to a discrete-time Riccati equation defined on certain infinite-dimensional ordered Banach space. We prove that under stabilizability and stochastic uniform observability conditions, the Riccati equation has a unique, uniformly positive, bounded on N and stabilizing solution. Based on this result, we solve the proposed optimal control problem. An example illustrates the theory.
引用
收藏
页码：105 / 127
页数：23
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