Singular linear quadratic optimal control for singular stochastic discrete‐time systems |
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| Authors: | Jun‐e Feng Peng Cui Zhongsheng Hou |
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| Affiliation: | 1. School of Mathematics, Shandong University, , Jinan, 250100 China;2. School of Control Science and Engineering, Shandong University, , Jinan, 250061 China;3. Advanced Control Systems Lab, Beijing Jiaotong University, , Beijing, 100044 China |
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| Abstract: | The finite time horizon singular linear quadratic (LQ) optimal control problem is investigated for singular stochastic discrete‐time systems. The problem is transformed into positive LQ one for standard stochastic systems via two equivalent transformations. It is proved that the singular LQ optimal control problem is solvable under two reasonable rank conditions. Via dynamic programming principle, the desired optimal controller is presented in terms of matrix iterative form. One simulation is provided to show the effectiveness of the proposed approaches. Copyright © 2012 John Wiley & Sons, Ltd. |
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| Keywords: | dynamic programming principle LQ optimal control singular systems stochastic systems |
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