Robust Linear Quadratic Regulator
| Autor: | Wouter Jongeneel, Peyman Mohajerin Esfahani, Tyler Summers |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Sequential game
Computer science Linear system 010103 numerical & computational mathematics Linear-quadratic regulator 010501 environmental sciences Optimal control 01 natural sciences Linear dynamical system Algebraic Riccati equation Robustness (computer science) Applied mathematics 0101 mathematics Game theory 0105 earth and related environmental sciences |
| Zdroj: | Proceedings of the IEEE 58th Conference on Decision and Control, CDC 2019 CDC |
| Popis: | We consider the problem of controlling an unknown stochastic linear dynamical system subject to an infinitehorizon discounted quadratic cost. Existing approaches for handling the corresponding robust optimal control problem resort to either conservative uncertainty sets or various approximations schemes, and to our best knowledge, the current literature lacks an exact, yet tractable, solution. We propose a class of novel uncertainty sets for the system matrices of the linear system. We show that the resulting robust linear quadratic regulator problem enjoys a closed-form solution described through a generalized algebraic Riccati equation arising from dynamic game theory. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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