Gradient-flow approach for computing a nonlinear-quadratic optimal-output feedback gain matrix |
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| Authors: | K L Teo K H Wong W Y Yan |
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| Institution: | (1) Department of Mathematics, University of Western Australia, Nedlands, Western Australia, Australia;(2) Department of Applied Mathematics, University of the Witwatersrand, Johannesburg, South Africa;(3) School of Electrical and Electronic Engineering, Nanyang Technological University, Nanyang Avenue, Republic of Singapore |
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| Abstract: | In this paper, an approach is proposed for solving a nonlinear-quadratic optimal regulator problem with linear static state feedback and infinite planning horizon. For such a problem, approximate problems are introduced and considered, which are obtained by combining a finite-horizon problem with an infinite-horizon linear problem in a certain way. A gradient-flow based algorithm is derived for these approximate problems. It is shown that an optimal solution to the original problem can be found as the limit of a sequence of solutions to the approximate problems. Several important properties are obtained. For illustration, two numerical examples are presented.This project was partially supported by a research grant from the Australian Research Council. |
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| Keywords: | Optimal control infinite horizon nonlinear-quadratic regulator problem linear state feedback approximate problems gradient-flow based algorithm |
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