Optimal control for a nonstationary linear system with a quadratic cost functional

@article{AdamCzornik1997,
abstract = {This paper is about optimal control of infinite-horizon nonstationary stochastic linear processes with a quadratic cost criterion. The synthesis problem of optimal control is solved under the assumptions that the criterion is an average expected cost and that the process' matrices possess limits for the time approaching infinity. Furthermore, the limit matrices are such that the "limit" process is both observable and controllable. The paper documents existence of an optimal feedback control policy. The policy is such that the gain matrix is a (scaled) solution to a Riccati stationary matrix equation. The equation is stationary in that its coefficients are the limits of the process' non-stationary matrices.},
author = {Adam Czornik},
journal = {Mathematica Applicanda},
keywords = {Optimal stochastic control; Problems involving randomness; Linear-quadratic problems},
language = {eng},
number = {40},
pages = {null},
title = {Optimal control for a nonstationary linear system with a quadratic cost functional},
url = {http://eudml.org/doc/293440},
volume = {26},
year = {1997},
}

TY - JOUR
AU - Adam Czornik
TI - Optimal control for a nonstationary linear system with a quadratic cost functional
JO - Mathematica Applicanda
PY - 1997
VL - 26
IS - 40
SP - null
AB - This paper is about optimal control of infinite-horizon nonstationary stochastic linear processes with a quadratic cost criterion. The synthesis problem of optimal control is solved under the assumptions that the criterion is an average expected cost and that the process' matrices possess limits for the time approaching infinity. Furthermore, the limit matrices are such that the "limit" process is both observable and controllable. The paper documents existence of an optimal feedback control policy. The policy is such that the gain matrix is a (scaled) solution to a Riccati stationary matrix equation. The equation is stationary in that its coefficients are the limits of the process' non-stationary matrices.
LA - eng
KW - Optimal stochastic control; Problems involving randomness; Linear-quadratic problems
UR - http://eudml.org/doc/293440
ER -