Successive method for general multiple linear-quadratic control problem in discrete time
作者： Li-Zhi Liao , Duan Li
DOI: 10.1109/9.867059
关键词: Control (linguistics) 、 Structure (category theory) 、 Sequence 、 Parametric statistics 、 Linear-quadratic-Gaussian control 、 Mathematics 、 Optimal control 、 Applied mathematics 、 Convergence (routing) 、 Discrete time and continuous time 、 Mathematical optimization
摘要: A successive method is proposed for the general multiple linear-quadratic control problem in discrete time. family of auxiliary parametric problems constructed such that its solution sequence converges to optimal original problem. Theoretical analysis computational procedure and global convergence provided. The utilizes special structure problem, thus being computationally efficient able furnish a closed-loop law.
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