Stochastic LQ control with generalized covariance constraints

被引：0

作者：

Huang, X ^{[1
]}

Zhang, LQ ^{[1
]}

Huang, B ^{[1
]}

机构：

[1] Univ Alberta, Dept Chem & Mat Engn, Edmonton, AB T6G 2G6, Canada

来源：

DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS | 2004年 / 11卷 / 1-2期

关键词：

generalized covariance control; linear matrix inequality; LQ control; LQG; semi-definite programming;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider the stochastic LQ control subject to the generalized covariance constraints (GCC) problem for both the discrete-time and the continuous-time Linear Time-invariant systems. It is shown that the feasibility of the CCC problem is equivalent to the feasibility of certain linear matrix inequalities (LMI). If the LMIs are feasible, the feasible controller set can be parameterized by the solutions to the LMIs. In addition, LQ performance can be optimized over the controller set and the global optimal solution can be found by semidefinite programming.

引用

页码：141 / 152

页数：12

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