On discrete-time linear quadratic control

被引：8
|
作者：
Czornik, A [1 ]
机构：
[1] Silesian Tech Univ, Dept Automat Control, PL-44101 Gliwice, Poland
来源：
SYSTEMS & CONTROL LETTERS | 1999年 / 36卷 / 02期
关键词：
LQG-problem; time-varying Riccati equation;
D O I：
10.1016/S0167-6911(98)00083-8
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The discrete-infinite time stochastic control system with complete observation is considered with quadratic cost functional when the coefficients of the system and cost functional are not time-invariant. It has been shown that the optimal control law has the form of time invariant feedback under the assumption that the coefficients have limits as time tends to infinity. In addition, asymptotic property of the solution of the difference Riccati equation with time-varying coefficients are established. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：101 / 107
页数：7
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