Parametric LQ control. (English) Zbl 0568.93071
The problem considered can be described as follows: For a given linear discrete-time stochastic system determine the linear output feedback from the class of stabilizing feedback gain matrices which minimizes a stationary quadratic criterion. In short, this is what is called a parametric linear quadratic (PLQ) control problem. Some linear and nonlinear descent mapping algorithms for efficiently solving the PLQ problem are introduced and analyzed. Results on their global convergence and their rate of convergence are presented. A numerical example illustrating the PLQ design of low-order controllers for a chemical reactor system is also presented.
Reviewer: P.Stoica
MSC:
93E20 | Optimal stochastic control |
90C99 | Mathematical programming |
93E25 | Computational methods in stochastic control (MSC2010) |
93D15 | Stabilization of systems by feedback |
93C05 | Linear systems in control theory |
93C55 | Discrete-time control/observation systems |
93E03 | Stochastic systems in control theory (general) |
Keywords:
linear discrete-time stochastic system; linear output feedback; parametric linear quadratic (PLQ) control problem; descent mapping algorithms; global convergence; rate of convergenceReferences:
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