Data-driven finite-horizon optimal control for linear time-varying discrete-time systems

B Pang, T Bian, ZP Jiang�- 2018 IEEE Conference on Decision�…, 2018 - ieeexplore.ieee.org
2018 IEEE Conference on Decision and Control (CDC), 2018ieeexplore.ieee.org
This paper presents a data-driven method to obtain an approximate solution of the finite-
horizon optimal control problem for linear time-varying discrete-time systems. Firstly, a finite-
horizon Policy Iteration method for linear time-varying discrete-time systems is proposed.
Then, a data-driven off-policy Policy Iteration algorithm is derived to find approximate
optimal controllers when the system dynamics is unknown. Under mild conditions, the
proposed data-driven off-policy algorithm converges to the optimal solution. Finally, the�…
This paper presents a data-driven method to obtain an approximate solution of the finite-horizon optimal control problem for linear time-varying discrete-time systems. Firstly, a finite-horizon Policy Iteration method for linear time-varying discrete-time systems is proposed. Then, a data-driven off-policy Policy Iteration algorithm is derived to find approximate optimal controllers when the system dynamics is unknown. Under mild conditions, the proposed data-driven off-policy algorithm converges to the optimal solution. Finally, the effectiveness of the derived method is validated by a numerical example.
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