Discounted Cost Linear Quadratic Gaussian Control for Descriptor Systems
| Autor: | Lena-Maria Pfurtscheller, Hermann Mena, Matthias Voigt |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
0209 industrial biotechnology
Discounted cost Descriptor systems Frame (networking) ComputingMethodologies_IMAGEPROCESSINGANDCOMPUTERVISION MathematicsofComputing_NUMERICALANALYSIS Time horizon 02 engineering and technology Linear-quadratic-Gaussian control 34A09 93E20 49N10 49J21 Computer Science Applications Dissipation inequality 020901 industrial engineering & automation Control and Systems Engineering Optimization and Control (math.OC) ComputingMethodologies_SYMBOLICANDALGEBRAICMANIPULATION 0202 electrical engineering electronic engineering information engineering FOS: Mathematics Applied mathematics 020201 artificial intelligence & image processing Mathematics - Optimization and Control Mathematics |
| Popis: | We consider the linear quadratic Gaussian control problem with a discounted cost functional for descriptor systems on the infinite time horizon. Based on recent results from the deterministic framework, we characterize the feasibility of this problem using a linear matrix inequality. In particular, conditions for existence and uniqueness of optimal controls are derived, which are weaker compared to the standard approaches in the literature. We further show that also for the stochastic problem, the optimal control is given in terms of the stabilizing solution of the Lur'e equation, which generalizes the algebraic Riccati equation. 20 pages |
| Databáze: | OpenAIRE |
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