Adaptive Linear Quadratic Control for Stochastic Discrete-Time Linear Systems with Unmeasurable Multiplicative and Additive Noises
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
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Detail(s)
Original language | English |
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Pages (from-to) | 7808-7815 |
Number of pages | 8 |
Journal / Publication | IEEE Transactions on Automatic Control |
Volume | 69 |
Issue number | 11 |
Online published | 10 May 2024 |
Publication status | Published - Nov 2024 |
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Abstract
This note investigates the adaptive linear quadratic control problem (ALQCP) for stochastic discrete-time (DT) linear systems with unmeasurable multiplicative and additive noises. A data-driven value iteration algorithm is developed to solve the stochastic algebraic Riccati equation (SARE) that results from the concerned problem and to simultaneously obtain the optimal feedback policy. The proposed algorithm directly uses online data to solve the ALQCP based on an unbiased estimator and an initial stabilizing controller with unknown system dynamics and unmeasurable multiplicative and additive noises. It is shown that the proposed algorithm under a finite length of online data converges to a neighborhood of the solution to the SARE with a probability and the input-to-state stability, and the neighborhood can be arbitrarily small while the probability can be arbitrarily close to one as the length of online data increases. The simulation results demonstrate the efficacy of the proposed algorithm. © 2024 IEEE.
Research Area(s)
- Adaptive linear quadratic control, Additive noise, Classification algorithms, Heuristic algorithms, Linear systems, stochastic algebraic Riccati equation, Stochastic processes, Symmetric matrices, System dynamics, unmeasurable noises, value iteration, stochastic algebraic Riccati equation (SARE), value iteration (VI)
Citation Format(s)
Adaptive Linear Quadratic Control for Stochastic Discrete-Time Linear Systems with Unmeasurable Multiplicative and Additive Noises. / Jiang, Yi; Liu, Lu; Feng, Gang.
In: IEEE Transactions on Automatic Control, Vol. 69, No. 11, 11.2024, p. 7808-7815.
In: IEEE Transactions on Automatic Control, Vol. 69, No. 11, 11.2024, p. 7808-7815.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review