Discrete-Time Uncertain LQ Optimal Control with Indefinite Control Weight Costs
2016 ◽
Vol 20
(4)
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pp. 633-639
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This paper deals with a discrete-time uncertain linear quadratic (LQ) optimal control, where the control weight costs are indefinite . Based on Bellman’s principle of optimality, the recurrence equation of the uncertain LQ optimal control is proposed. Then, by using the recurrence equation, a necessary condition of the optimal state feedback control for the LQ problem is obtained. Moreover, a sufficient condition of well-posedness for the LQ problem is presented. Furthermore, an algorithm to compute the optimal control and optimal value is provided. Finally, a numerical example to illustrate that the LQ problem is still well-posedness with indefinite control weight costs.
1991 ◽
Vol 113
(2)
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pp. 206-215
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Keyword(s):
2019 ◽
Vol 267
(1)
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pp. 180-227
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Keyword(s):
2018 ◽
Vol 14
(3)
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pp. 913-930
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