Multistage Uncertain Random Linear Quadratic Optimal Control

CHEN Xin · ZHU Yuanguo

系统科学与复杂性(英文) ›› 2020, Vol. 33 ›› Issue (6) : 1847-1872.

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PDF(316 KB)
系统科学与复杂性(英文) ›› 2020, Vol. 33 ›› Issue (6) : 1847-1872. DOI: 10.1007/s11424-020-8312-z

Multistage Uncertain Random Linear Quadratic Optimal Control

    CHEN Xin · ZHU Yuanguo
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Multistage Uncertain Random Linear Quadratic Optimal Control

    CHEN Xin · ZHU Yuanguo
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Abstract

In this paper, linear quadratic (LQ) optimal control problems are investigated for two types of uncertain random systems which consider the coefficient of the perturbed term as a constant vector or a vector-valued function of state vector and control vector. First, the uncertain random optimal control model is established under expected value criterion. Second, based on Bellman’s principle, recurrence equations are presented for settling such problem. Then by applying the recurrence equations and chance theory, the analytical expressions of the optimal results for the LQ problems are derived. Furthermore, some examples and an application are given to show the effectiveness of our results.

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CHEN Xin · ZHU Yuanguo. Multistage Uncertain Random Linear Quadratic Optimal Control. 系统科学与复杂性(英文), 2020, 33(6): 1847-1872 https://doi.org/10.1007/s11424-020-8312-z
CHEN Xin · ZHU Yuanguo. Multistage Uncertain Random Linear Quadratic Optimal Control. Journal of Systems Science and Complexity, 2020, 33(6): 1847-1872 https://doi.org/10.1007/s11424-020-8312-z
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