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摘要: 应用渐近分析方法讨论了无限时区离散时间不定号随机线性二次型最优控制问题. 所进行的研究是建立在这一问题有限时区情形结果和系统均方能镇定假设基础之上的. 广义代数Riccati方程(GARE)解的一些性质也得到了考虑. 最后提供了两个例子来说明所推出的结果是有效的.
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关键词:
- 均方镇定性 /
- 广义Lyapunov不等式 /
- 广义代数Riccati方程
Abstract: The asymptotic analysis method is applied to the infinite horizon discrete-time indefinite stochastic LQ problem. This paper carries out the research on the basis of the results of its finite horizon counterpart and the mean-square stabilizing assumption. Properties of the solutions to the generalized algebraic Riccati equation (GARE) are also considered. Finally, two examples are provided to justify the developed theory. -
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