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Singular linear quadratic optimal control for singular stochastic discrete-time systems

Authors


Correspondence to: Jun-e Feng, School of Mathematics, Shandong University, Jinan 250100, China.

E-mail: fengjune@sdu.edu.cn

SUMMARY

The finite time horizon singular linear quadratic (LQ) optimal control problem is investigated for singular stochastic discrete-time systems. The problem is transformed into positive LQ one for standard stochastic systems via two equivalent transformations. It is proved that the singular LQ optimal control problem is solvable under two reasonable rank conditions. Via dynamic programming principle, the desired optimal controller is presented in terms of matrix iterative form. One simulation is provided to show the effectiveness of the proposed approaches. Copyright © 2012 John Wiley & Sons, Ltd.

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