Stochastic Linear Quadratic Optimal Control with Indefinite Control Weights and Constraint for Discrete-Time Systems. (22nd January 2015)

• Record Type: Journal Article
• Authors: Liu, Xikui; Li, Guiling; Li, Yan
• Other Names: Zhang Weihai Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2015(2015)
• Publication Date: 2015-01-22
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2015/476545
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : The Karush-Kuhn-Tucker (KKT) theorem is used to study stochastic linear quadratic optimal control with terminal constraint for discrete-time systems, allowing the control weighting matrices in the cost to be indefinite. A generalized difference Riccati equation is derived, which is different from those without constraint case. It is proved that the well-posedness and the attainability of stochastic linear quadratic optimal control problem are equivalent. Moreover, an optimal control can be denoted by the solution of the generalized difference Riccati equation.