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带马尔科夫跳和乘积噪声的随机系统的最优控制

孔淑兰 张召生

孔淑兰, 张召生. 带马尔科夫跳和乘积噪声的随机系统的最优控制. 自动化学报, 2012, 38(7): 1113-1118. doi: 10.3724/SP.J.1004.2012.01113
引用本文: 孔淑兰, 张召生. 带马尔科夫跳和乘积噪声的随机系统的最优控制. 自动化学报, 2012, 38(7): 1113-1118. doi: 10.3724/SP.J.1004.2012.01113
KONG Shu-Lan, ZHANG Zhao-Sheng. Optimal Control of Stochastic System with Markovian Jumping and Multiplicative Noises. ACTA AUTOMATICA SINICA, 2012, 38(7): 1113-1118. doi: 10.3724/SP.J.1004.2012.01113
Citation: KONG Shu-Lan, ZHANG Zhao-Sheng. Optimal Control of Stochastic System with Markovian Jumping and Multiplicative Noises. ACTA AUTOMATICA SINICA, 2012, 38(7): 1113-1118. doi: 10.3724/SP.J.1004.2012.01113

带马尔科夫跳和乘积噪声的随机系统的最优控制

doi: 10.3724/SP.J.1004.2012.01113

Optimal Control of Stochastic System with Markovian Jumping and Multiplicative Noises

  • 摘要: 讨论了N个选手随机系统的最优控制问题. 设计了无限时间的带有马尔科夫跳和乘积噪声的随机系统的Pareto最优控制器. 应用推广的Lyapunov方法和解随机Riccati代数方程得到了系统的Pareto最优解, 证明了最优控制器是稳定的反馈控制器, 以及对应于最优控制器的反馈增益中的随机Riccati代数方程的解是最小解.
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出版历程
  • 收稿日期:  2011-01-06
  • 修回日期:  2011-04-04
  • 刊出日期:  2012-07-20

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