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http://hdl.handle.net/10397/93894
Title: | On continuous-time constrained stochastic linear–quadratic control | Authors: | Wu, W Gao, J Lu, JG Li, X |
Issue Date: | Apr-2020 | Source: | Automatica, Apr. 2020, v. 114, 108809 | Abstract: | This paper studies a class of continuous-time scalar-state stochastic Linear–Quadratic (LQ) optimal control problems with the linear control constraints. Using the state separation theorem induced from its special structure, we derive the analytical solution for this class of problems. The revealed optimal control policy is a piece-wise affine function of system state. This control policy can be computed efficiently by solving two Riccati equations off-line. Under some mild conditions, the stationary optimal control policy can be also achieved for this class of problems over an infinite horizon. Examples are presented to shed light on the theoretical results established. | Keywords: | Constraints Continuous time systems Linear quadratic regulators Optimal control Stochastic control |
Publisher: | Pergamon Press | Journal: | Automatica | ISSN: | 0005-1098 | DOI: | 10.1016/j.automatica.2020.108809 | Rights: | © 2020 Elsevier Ltd. All rights reserved. © 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ The following publication Wu, W., Gao, J., Lu, J. G., & Li, X. (2020). On continuous-time constrained stochastic linear–quadratic control. Automatica, 114, 108809 is available at https://doi.org/10.1016/j.automatica.2020.108809 |
Appears in Collections: | Journal/Magazine Article |
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Li_Continuous-Time_Constrained_Stochastic.pdf | Pre-Published version | 1.1 MB | Adobe PDF | View/Open |
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