The optimal control law is derived for discrete-time linear stochastic systems with quadratic performance criterion and control-dependent noise. The analysis includes the study of a generalized Riccati difference equation and of the asymptotic behavior of its solutions.
Discrete-time optimal control with control-dependent noise and Generalized Riccati Difference Equations
BEGHI, ALESSANDRO;
1998
Abstract
The optimal control law is derived for discrete-time linear stochastic systems with quadratic performance criterion and control-dependent noise. The analysis includes the study of a generalized Riccati difference equation and of the asymptotic behavior of its solutions.File in questo prodotto:
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