On discrete-time linear quadratic control

The discrete-infinite time stochastic control system with complete observat ion is considered with quadratic cost functional when the coefficients of t he system and cost functional are not time-invariant. It has been shown tha t the optimal control law has the form of time invariant feedback under the assumption that the coefficients have limits as time tends to infinity. In addition, asymptotic property of the solution of the difference Riccati eq uation with time-varying coefficients are established. (C) 1999 Elsevier Sc ience B.V. All rights reserved.