Optimal Control of Linear Discrete-Time Systems with Multiplicative Noises
This paper studies mean-square stabilization and optimal control problems via state feedback for linear discrete-time systems with state and control multiplicative noises. We first show that in general the state feedback stabilization problem in mean-square sense amounts to solving a generalized eigenvalue problem(GEVP). Next, we pose the H2 optimal control problem equivalent to an optimal mean-square stabilization problem. As a consequence, both the mean-square stabilization and the H2 optimal control problems can be solved efficiently as one of generalized eigenvalue problems, for which computational algorithms are readily available. The optimal state feedback in turn can be designed by solving a modified algebraic Riccati equation (MARE).
Linear stochastic control Multiplicative noise Mean-square stabilization Algebraic Riccati equation
Guangming Liu Weizhou Su Jie Chen
Autonomous System and Networked Control Lab, South China University of Technology Guangzhou China,510640 Electronic Engineering Department, City University of Hong Kong
国际会议
The 31st Chinese Control Conference(第三十一届中国控制会议)
合肥
英文
5948-5953
2012-07-01（万方平台首次上网日期，不代表论文的发表时间）