LQ Optimal Control for Stochastic System with Infinite Markovian Jumps

被引：0
|
作者：
Liu, Yueying [1 ]
Hou, Ting [1 ]
机构：
[1] Shandong Univ Sci & Technol, Coll Math & Syst Sci, Qingdao 266590, Peoples R China
来源：
2017 CHINESE AUTOMATION CONGRESS (CAC) | 2017年
基金：
中国国家自然科学基金;
关键词：
DIFFERENTIAL-EQUATIONS;
D O I：
暂无
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, LQ optimal control problems are discussed for a broad class of linear stochastic differential equations (SDEs) with infinite Markovian jumps. Firstly, stochastic LQ control problem for finite horizon case is analyzed. Secondly, under strong detectability, infinite horizon LQ optimal controller is designed by the solution of matrix Riccati equations (MREs).
引用
收藏
页码：7107 / 7111
页数：5
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