| 随机线性系统保成本控制的线性矩阵不等式方法 |
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| 引用本文： | 郭子君,吴让泉.随机线性系统保成本控制的线性矩阵不等式方法[J].运筹学学报,2008,12(3). |
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| 作者姓名： | 郭子君 吴让泉 |
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| 作者单位： | 1. 华南农业大学应用数学研究所,广州,510642
2. 东华大学理学院,上海,200051 |
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| 摘 要： | 考虑具有二次成本函数的随机线性系统,研究了状态反馈控制的保证成本控制问题.依据线性矩阵不等式得到了保证成本控制器存在的充分条件,最后得到了随机线性闭环系统保证成本最小的最优保证成本控制律的表达式.
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| 关 键 词： | 运筹学 随机线性系统 保证成本控制 状态反馈控制 随机渐近稳定 线性矩阵不等式 |
An LMI Approach to Guaranteed Cost Control of Stochastic Linear Systems |
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| Guo Zijun,Wu Rangquan.An LMI Approach to Guaranteed Cost Control of Stochastic Linear Systems[J].OR Transactions,2008,12(3). |
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| Authors: | Guo Zijun Wu Rangquan |
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| Abstract: | The guaranteed cost control problem by state feedback controllers is studied for stochastic linear systems with a given quadratic cost function. Sufficient conditions for the existence of guaranteed cost controllers are given in terms of linear matrix inequalities. And next the optimal guaranteed cost control law which minimizes the guaranteed cost of the stochastic linear closed-loop systems is also formulated. |
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| Keywords: | Operations research stochastic linear systems guaranteed cost control state feedback control stochastic asymptotical stability linear matrix inequalities |
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