DISCRETE-TIME OPTIMAL-CONTROL WITH CONTROL-DEPENDENT NOISE AND GENERALIZED RICCATI DIFFERENCE-EQUATIONS

Authors
BEGHI A DALESSANDRO D
Citation
A. Beghi et D. Dalessandro, DISCRETE-TIME OPTIMAL-CONTROL WITH CONTROL-DEPENDENT NOISE AND GENERALIZED RICCATI DIFFERENCE-EQUATIONS, Automatica (Oxford), 34(8), 1998, pp. 1031-1034
Citations number
15
Categorie Soggetti
Robotics & Automatic Control","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
Automatica (Oxford) → ACNP
ISSN journal
00051098
Volume
34
Issue
8
Year of publication
1998
Pages
1031 - 1034
Database
ISI
SICI code
0005-1098(1998)34:8<1031:DOWCNA>2.0.ZU;2-F
Abstract
The optimal control law is derived for discrete-time linear stochastic systems with quadratic performance criterion and control-dependent no ise. The analysis includes the study of a generalized Riccati differen ce equation and of the asymptotic behavior of its solutions. (C) 1998 Elsevier Science Ltd. All rights reserved.