Title: Discrete-time indefinite stochastic linear quadratic optimal control: Inequality constraint case
Authors: Guiling Li1; Weihai Zhang2
Author affiliation: 1 Coll. of Inf. Sci. & Eng., Shandong Univ. of Sci. & Technol., Qingdao, China
2 Coll. of Inf. & Electr. Eng., Shandong Univ. of Sci. & Technol., Qingdao, China
Source: Proceedings of the 32nd Chinese Control Conference (CCC)
Publication date: 2013
Pages: 2327-32
Language: English
Document type: Conference article (CA)
Conference name: 2013 32nd Chinese Control Conference (CCC)
Conference date: 26-28 July 2013
Conference location: Xi'an, China
Publisher: IEEE
Place of publication: Piscataway, NJ, USA
Material Identity Number: YXB3-1901-950
Abstract: It is known that the Karush-Kuhn-Tucker (KKT) theorem gives necessary conditions for the existence of optimal solutions to constrained optimization problems. It is shown that a class of discrete-time indefinite stochastic linear quadratic (LQ) optimal control problems with an inequality constraint on terminal state, can be transformed into a mathematical programming problem with equality and inequality constrains. In this paper, the KKT condition for the existence of optimal linear state feedback controllers is given. More importantly, the previous results on discrete-time stochastic LQ optimal control without constraints or with equality constraints, can be viewed as corollaries of the main theorems of this paper.
Number of references: 16
Inspec controlled terms: discrete time systems - linear quadratic control - mathematical programming - state feedback - stochastic systems
Uncontrolled terms: discrete-time indefinite stochastic linear quadratic optimal control - inequality constraint case - Karush-Kuhn-Tucker theorem - KKT theorem - constrained optimization problems - terminal state - mathematical programming problem - optimal linear state feedback controllers - discrete-time stochastic LQ optimal control
Inspec classification codes: C1340G Time-varying control systems - C1340D Discrete control systems - C1330 Optimal control - C1180 Optimisation techniques
Treatment: Theoretical or Mathematical (THR)
Discipline: Computers/Control engineering (C)
Database: Inspec
Copyright 2013, The Institution of Engineering and Technology
Title: Discrete-time indefinite stochastic linear quadratic optimal control: Inequality constraint case
Authors: Guiling Li1; Weihai Zhang2
Author affiliation: 1 Coll. of Inf. Sci. & Eng., Shandong Univ. of Sci. & Technol., Qingdao, China
2 Coll. of Inf. & Electr. Eng., Shandong Univ. of Sci. & Technol., Qingdao, China
Source: Proceedings of the 32nd Chinese Control Conference (CCC)
Publication date: 2013
Pages: 2327-32
Language: English
Document type: Conference article (CA)
Conference name: 2013 32nd Chinese Control Conference (CCC)
Conference date: 26-28 July 2013
Conference location: Xi'an, China
Publisher: IEEE
Place of publication: Piscataway, NJ, USA
Material Identity Number: YXB3-1901-950
Abstract: It is known that the Karush-Kuhn-Tucker (KKT) theorem gives necessary conditions for the existence of optimal solutions to constrained optimization problems. It is shown that a class of discrete-time indefinite stochastic linear quadratic (LQ) optimal control problems with an inequality constraint on terminal state, can be transformed into a mathematical programming problem with equality and inequality constrains. In this paper, the KKT condition for the existence of optimal linear state feedback controllers is given. More importantly, the previous results on discrete-time stochastic LQ optimal control without constraints or with equality constraints, can be viewed as corollaries of the main theorems of this paper.
Number of references: 16
Inspec controlled terms: discrete time systems - linear quadratic control - mathematical programming - state feedback - stochastic systems
Uncontrolled terms: discrete-time indefinite stochastic linear quadratic optimal control - inequality constraint case - Karush-Kuhn-Tucker theorem - KKT theorem - constrained optimization problems - terminal state - mathematical programming problem - optimal linear state feedback controllers - discrete-time stochastic LQ optimal control
Inspec classification codes: C1340G Time-varying control systems - C1340D Discrete control systems - C1330 Optimal control - C1180 Optimisation techniques
Treatment: Theoretical or Mathematical (THR)
Discipline: Computers/Control engineering (C)
Database: Inspec
Copyright 2013, The Institution of Engineering and Technology
Title: Discrete-time indefinite stochastic linear quadratic optimal control: Inequality constraint case
Authors: Guiling Li1; Weihai Zhang2
Author affiliation: 1 Coll. of Inf. Sci. & Eng., Shandong Univ. of Sci. & Technol., Qingdao, China
2 Coll. of Inf. & Electr. Eng., Shandong Univ. of Sci. & Technol., Qingdao, China
Source: Proceedings of the 32nd Chinese Control Conference (CCC)
Publication date: 2013
Pages: 2327-32
Language: English
Document type: Conference article (CA)
Conference name: 2013 32nd Chinese Control Conference (CCC)
Conference date: 26-28 July 2013
Conference location: Xi'an, China
Publisher: IEEE
Place of publication: Piscataway, NJ, USA
Material Identity Number: YXB3-1901-950
Abstract: It is known that the Karush-Kuhn-Tucker (KKT) theorem gives necessary conditions for the existence of optimal solutions to constrained optimization problems. It is shown that a class of discrete-time indefinite stochastic linear quadratic (LQ) optimal control problems with an inequality constraint on terminal state, can be transformed into a mathematical programming problem with equality and inequality constrains. In this paper, the KKT condition for the existence of optimal linear state feedback controllers is given. More importantly, the previous results on discrete-time stochastic LQ optimal control without constraints or with equality constraints, can be viewed as corollaries of the main theorems of this paper.
Number of references: 16
Inspec controlled terms: discrete time systems - linear quadratic control - mathematical programming - state feedback - stochastic systems
Uncontrolled terms: discrete-time indefinite stochastic linear quadratic optimal control - inequality constraint case - Karush-Kuhn-Tucker theorem - KKT theorem - constrained optimization problems - terminal state - mathematical programming problem - optimal linear state feedback controllers - discrete-time stochastic LQ optimal control
Inspec classification codes: C1340G Time-varying control systems - C1340D Discrete control systems - C1330 Optimal control - C1180 Optimisation techniques
Treatment: Theoretical or Mathematical (THR)
Discipline: Computers/Control engineering (C)
Database: Inspec
Copyright 2013, The Institution of Engineering and Technology
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