具有乘性噪声线性离散时间随机控制系统综述.PDFVIP

30 8 Vol. 30 No. 8 2013 8 Control Theory Applications Aug. 2013 DOI: 10.7641/CTA.2013.21226 , ( ; , 510640) : . . , , , . : ; ; ; ; : TP273 : A Survey of linear discrete-time stochastic control systems with multiplicative noises LIU Guang-ming, SU Wei-zhou (Autonomous System and Networked Control Lab; School of Automation Science and Technology, South China University of Technology, Guangzhou Guangdong 510640, China) Abstract: The stochastic control for uncertain systems with multiplicative noises has been finding its applications in many fields. This paper reviews in a systematic manner several recent results on stability analysis, mean-square stabiliza- tion, optimal control and estimation for linear discrete-time stochastic uncertain systems with multiplicative noises. For some problems, we pose some new viewpoints and clarify the intrinsic relation between them. Besides, state feedback design algorithms are investigated. Key words: linear discrete-time stochastic systems; multiplicative noises; mean-square stabilization; stochastic optimal control; optimal estimation 1 (Introduction) , 1 , . [1–5] [25][26]. 1971, . 40, WillemsBlankenship[27] . (SISO) . , . LuSkelton[28] [6–15] (MIMO) [16–22] . . , 20. . [29] , . . (MARE). , MARE. . , MARE. 20 60 . 1969 , [29–35] Kleinman[23] McLane[24] , . . [36], BoydGhaoui : : . E-mail: wzhsu@. : (608340