Abstract
In this paper, linear quadratic (LQ) optimal control problems are investigated for two types of uncertain random systems which consider the coefficient of the perturbed term as a constant vector or a vector-valued function of state vector and control vector. First, the uncertain random optimal control model is established under expected value criterion. Second, based on Bellman’s principle, recurrence equations are presented for settling such problem. Then by applying the recurrence equations and chance theory, the analytical expressions of the optimal results for the LQ problems are derived. Furthermore, some examples and an application are given to show the effectiveness of our results.
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This research was supported by the National Natural Science Foundation of China under Grant No. 61673011 and the Postgraduate Research and Practice Innovation Program of Jiangsu Province under Grant No. KYCX19_0249.
This paper was recommended for publication by Editor ZHAO Yanlong.
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Chen, X., Zhu, Y. Multistage Uncertain Random Linear Quadratic Optimal Control. J Syst Sci Complex 33, 1847–1872 (2020). https://doi.org/10.1007/s11424-020-8312-z
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DOI: https://doi.org/10.1007/s11424-020-8312-z