study on stochastic linear quadratic optimal control with quadratic and mixed terminal state constraints
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ID: 151532
2013
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Abstract
This paper studies the indefinite stochastic LQ control problem
with quadratic and mixed terminal state equality constraints, which can
be transformed into a mathematical programming problem. By means
of the Lagrangian multiplier theorem and Riesz representation theorem, the
main result given in this paper is the necessary condition for indefinite
stochastic LQ control with quadratic and mixed terminal equality
constraints. The result shows that the different terminal state constraints
will cause the endpoint condition of the differential Riccati equation
to be changed. It coincides with the indefinite stochastic LQ problem
with linear terminal state constraint, so the result given in this paper can
be viewed as the extension of the indefinite stochastic LQ problem
with the linear terminal state equality constraint. In order to guarantee
the existence and the uniqueness of the linear feedback control, a
sufficient condition is also presented in the paper. A numerical example
is presented at the end of the paper.
| Reference Key |
hongli2013journalstudy
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|---|---|
| Authors | ;Yang Hongli |
| Journal | Chemico-biological interactions |
| Year | 2013 |
| DOI |
10.1155/2013/674327
|
| URL | |
| Keywords |
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