Optimal control of discrete-time linear fractional-order systems with multiplicative noise
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Publication:4568012
DOI10.1080/00207179.2016.1266520zbMATH Open1390.93872arXiv1605.04110OpenAlexW2962903559MaRDI QIDQ4568012FDOQ4568012
Authors: Juan J. Trujillo, V. M. Ungureanu 
Publication date: 20 June 2018
Published in: International Journal of Control (Search for Journal in Brave)
Abstract: A finite horizon linear quadratic(LQ) optimal control problem is studied for a class of discrete-time linear fractional systems (LFSs) affected by multiplicative, independent random perturbations. Based on the dynamic programming technique, two methods are proposed for solving this problem. The first one seems to be new and uses a linear, expanded-state model of the LFS. The LQ optimal control problem reduces to a similar one for stochastic linear systems and the solution is obtained by solving Riccati equations. The second method appeals to the Principle of Optimality and provides an algorithm for the computation of the optimal control and cost by using directly the fractional system. As expected, in both cases the optimal control is a linear function in the state and can be computed by a computer program. Two numerical examples proves the effectiveness of each method.
Full work available at URL: https://arxiv.org/abs/1605.04110
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Dynamic programming (90C39) Linear-quadratic optimal control problems (49N10) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Transformations (93B17)
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- Optimal control for discrete-time, linear fractional-order systems with Markovian jumps
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