线性随机系统的非二次最优控制.pdfVIP

th Proceedings of the 25 Chinese Control Conference 7-11 August, 2006, Harbin, Heilongjiang 线性随机系统的非二次最优控制 周 渊 复旦大学 数学科学学院, 上海200433 E-mail: mayzhou@fudan.edu.cn 摘 要: 在非二次的凸判据情况下研究了线性定常随机系统的最优控制问题, 分别讨论了开环和闭环形式的最 优控制, 借助拟Riccati方程的解得到了非线性反馈形式的最优控制, 最后还计算了一个实例. 关键词: 线性系统, 非二次指标, 随机最优控制, 拟Riccati方程 Optimal Control with Nonquadratic Criteria for Stochastic Linear Systems Zhou Yuan School of Mathematical Science, Fudan University, Shanghai 200433 E-mail: mayzhou@fudan.edu.cn Abstract: This paper deals with nonquadratic criteria for LTI stochastic systems. Under the assumption of convexity of index function, we discuss both open-loop and closed-loop optimal controls. We expressed the optimal control by nonlinear feedback form that depends on the solutions of quasi-Riccati equations. Finally I give an example to show this approach. Key Words: Linear Systems, Nonquadratic Criteria, Stochastic Optimal Control, quasi-Riccati equations dx t Ax t =+ Bu t dt ? ( ) [ ( ) ( )] ? 1 引言(Introduction) Cx t Du t dW t ? + [ ( ) + ( )] ( ), (1) ? 线性二次最优控制问题[1,2]是在最优控制理 x (0) x0 .