Guaranteed performance control for discrete-time LQG problems
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 377-382 |
| Journal / Publication | IFAC Proceedings Volumes (IFAC-PapersOnline) |
| Volume | 38 |
| Issue number | 1 |
| Publication status | Published - 2005 |
| Externally published | Yes |
Conference
| Title | 16th Triennial World Congress of International Federation of Automatic Control, IFAC 2005 |
|---|---|
| Place | Czech Republic |
| City | Prague |
| Period | 3 - 8 July 2005 |
Link(s)
Abstract
Guaranteed performance control is considered in this paper for discrete-time LQG problems by minimizing the probability that the performance index is over a preselected threshold. It is proven that this guaranteed performance control problem can be converted into a mean-variance control problem which can be solved by using an embedding scheme. An optimal open-loop feedback control law is derived for the guaranteed performance control of discrete-time LQG problems.
Research Area(s)
- Dynamic programming, Guaranteed performance control, Linear-quadratic Gaussian control, Mean-variance control, Stochastic control
Citation Format(s)
Guaranteed performance control for discrete-time LQG problems. / Li, Duan; Fu, Peilin; Qian, Fucai.
In: IFAC Proceedings Volumes (IFAC-PapersOnline), Vol. 38, No. 1, 2005, p. 377-382.
In: IFAC Proceedings Volumes (IFAC-PapersOnline), Vol. 38, No. 1, 2005, p. 377-382.
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
