Time Invariance of Optimal Control in a Stochastic Linear Controller Design with Dynamic Scaling of Coefficients.

Autor: Palamarchuk, E. S.
Zdroj: Journal of Computer & Systems Sciences International; Mar2021, Vol. 60 Issue 2, p202-212, 11p
Abstrakt: This paper considers the design problem of a stochastic linear-quadratic controller over an infinite time-horizon with dynamic scaling of the coefficients in the state equation and the cost criterion. Dynamic scaling means multiplying the coefficients by a positive time-varying function. The optimality criteria used are extensions of the long-term average cost and pathwise long-term average cost. The integral of the scaling function is applied to normalize the performance indices. It is shown that, the optimal control law is time-invariant and can be obtained through a steady-state optimal strategy known for the autonomous system. [ABSTRACT FROM AUTHOR]
Databáze: Complementary Index
Externí odkaz: