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On discrete-time linear quadratic control

✍ Scribed by Adam Czornik

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
90 KB
Volume
36
Category
Article
ISSN
0167-6911

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✦ Synopsis

The discrete-inΓΏnite time stochastic control system with complete observation is considered with quadratic cost functional when the coe cients of the system and cost functional are not time-invariant. It has been shown that the optimal control law has the form of time invariant feedback under the assumption that the coe cients have limits as time tends to inΓΏnity. In addition, asymptotic property of the solution of the di erence Riccati equation with time-varying coe cients are established.

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