A distributed stochastic approximation algorithm for stochastic LQ control with unknown uncertainty. (May 2023)

• Record Type: Journal Article
• Authors: Zhang, Zhaorong; Xu, Juanjuan; Li, Xun
• Is Part Of: Automatica. Volume 151(2023)
• Publication Date: 2023-05
• Subjects: Distributed stochastic approximation -- Stochastic control -- Multiplicative noise -- Unknown statistics; Automatic control -- Periodicals; Automation -- Periodicals; 629.805
• DOI: 10.1016/j.automatica.2023.110917
• Languages: English
• ISSNs: 0005-1098

Abstract

Abstract: This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on control systems whose system matrices are associated with random parameters involving unknown statistical properties. We design a distributed stochastic approximation algorithm to tackle the Riccati equation and derive the optimal controller stabilizing the system. The convergence analysis is provided.