Analysis of problems on probabilistically optimal control of linear systems with discrete time

MaRDI QIDQ1316255zbMATH OpenFDO

Authors A. N. Sirotin

Publication date 22 March 1994

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

discrete timelinear autonomous systemsoptimal stochastic control

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Review text

Three types of problems on probabilistically optimal control of linear autonomous systems in the presence of uncertainty with discrete time and polyhedral constraints are analyzed. The first problem concerns optimal control with random initial state; the second, optimal control in the presence of additive random noise; the third, optimal control with a noise of a different type. The conditions are formulated and proved for existence of solutions of these problems which are independent of the distribution of the random variables.

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(9)

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• On optimal control of constrained linear systems with imperfect state information and stochastic disturbances
• Polynomial-Time Probabilistic Controllability Analysis of Discrete-Time Piecewise Affine Systems
• Solving discrete first-order matrix linear control problems with general parametric uncertainties: a probability-density-based approach
• On solvability conditions for a class of problems of control of scalar discrete systems with adaptive random perturbations

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