A linear controller for systems with noise coefficients

DOI10.1007/BF01055964MaRDI QIDQ1083418zbMATH OpenFDO

Authors T. V. Khrisanova

Publication date 1985

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01055964

zbMATH Keywords

time-dependent

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Review text

The paper is concerned with a control system described by linear ordinary differential equations with time-variable coefficients which are defined by a homogeneous Markov process. The control parameters in the form of linear functions of state variables are found by minimizing the mean value of a quadratic functional. To solve the stated problem the well- known Bellman principle is used. As a result, determination of the controls in question is reduced to the solution of a special system of ordinary differential equations. These are some generalization of the Riccati equations arising in deterministic linear problems of optimal control with quadratic performance index.

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Cites work

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Cited in

(3)

• Admissible noise of linear controllable systems
• Optimal controller for a linear plant with bounded noise
• Compensating for noise and perturbances in linear object control

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