On discrete-time linear quadratic control

Adam Czornik

doi:10.1016/S0167-6911(98)00083-8

On discrete-time linear quadratic control

Adam Czornik

Department of Automatic Control and Robotics (RAU/RAU3)

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	101-107
Number of pages	7
Journal	Systems and Control Letters
Volume	36
Issue number	2
DOIs	https://doi.org/10.1016/S0167-6911(98)00083-8
Publication status	Published - 15 Feb 1999

Keywords

LQG-problem
Time-varying Riccati equation

ASJC Scopus subject areas

Control and Systems Engineering
General Computer Science
Mechanical Engineering
Electrical and Electronic Engineering

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10.1016/S0167-6911(98)00083-8

Cite this

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AB - 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.

KW - LQG-problem

KW - Time-varying Riccati equation

UR - https://www.scopus.com/pages/publications/0004230802

U2 - 10.1016/S0167-6911(98)00083-8

DO - 10.1016/S0167-6911(98)00083-8

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JO - Systems and Control Letters

JF - Systems and Control Letters

IS - 2

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On discrete-time linear quadratic control

Abstract

Keywords

ASJC Scopus subject areas

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