Technical Communique: Discrete-Time Optimal Control with Control-Dependent Noise and Generalized Riccati Difference Equations

Authors:
Alessandro Beghi;Domenico Dalessandro
Affiliations:
Dipartimeto di Elettronica e Informatica, Università di Padova, via Gradenigo 6/A, 35131 Padova, Italy.;Department of Mechanical and Environmental Engineering, University of California, Santa Barbara, CA 93106, USA.
Venue:
Automatica (Journal of IFAC)
Year:
1998

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Abstract

The optimal control law is derived for discrete-time linear stochastic systems with quadratic performance criterion and control-dependent noise. The analysis includes the study of a generalized Riccati difference equation and of the asymptotic behavior of its solutions.