Infinite horizon optimal control of linear discrete time systems with stochastic parameters

  • Authors:

  • W. L. De Koning

  • Affiliations:

  • Department of Applied Physics, Delft University of Technology, Delft, The Netherlands

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 1982

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Abstract

The infinite horizon optimal control problem is considered in the general case of linear discrete time systems and quadratic criteria, both with stochastic parameters which are independent with respect to time. A stronger stabilizability property and a weaker observability property than usual for deterministic systems are introduced. It is shown that the infinite horizon problem has a solution if the system has the first property. If in addition the problem has the second property the solution is unique and the control system is stable in the mean square sense. A simple necessary and sufficient condition, explicit in the system matrices, is given for the system to have the stronger stabilizability property. This condition also holds for deterministic systems to be stabilizable in the usual sense. The stronger stabilizability and weaker observability properties coincide with the usual ones if the parameters are deterministic.