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带马尔科夫跳和乘积噪声的随机系统的最优控制

DOI: 10.3724/SP.J.1004.2012.01113, PP. 1113-1118

Keywords: Pareto解,随机系统,马尔科夫跳,乘积噪声,最小解

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Abstract:

?讨论了N个选手随机系统的最优控制问题.设计了无限时间的带有马尔科夫跳和乘积噪声的随机系统的Pareto最优控制器.应用推广的Lyapunov方法和解随机Riccati代数方程得到了系统的Pareto最优解,证明了最优控制器是稳定的反馈控制器,以及对应于最优控制器的反馈增益中的随机Riccati代数方程的解是最小解.

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