Riccati solution for discrete stochastic systems with state and control dependent noise

Randa Herzallah*

*Corresponding author for this work

Research output: Chapter in Book/Published conference outputConference publication

Abstract

In this paper we present the Riccati solution of linear quadratic control problems with input and state dependent noise which is encountered during our previous study to the adaptive critic solution for systems characterized by functional uncertainty. Uncertainty of the system equations is quantified using a state and control dependent noise model. The derived optimal control law is shown to be of cautious type controllers. The derivation of the Riccati solution is via the principle of optimality. The Riccati solution is implemented to linear multi dimensional control problem and compared to the certainty equivalent Riccati solution.

Original languageEnglish
Title of host publicationICINCO 2009 - 6th International Conference on Informatics in Control, Automation and Robotics, Proceedings
Pages115-120
Number of pages6
Publication statusPublished - 2009
EventICINCO 2009 - 6th International Conference on Informatics in Control, Automation and Robotics - Milan, Italy
Duration: 2 Jul 20095 Jul 2009

Publication series

NameICINCO 2009 - 6th International Conference on Informatics in Control, Automation and Robotics, Proceedings
Volume1 ICSO

Conference

ConferenceICINCO 2009 - 6th International Conference on Informatics in Control, Automation and Robotics
CountryItaly
CityMilan
Period2/07/095/07/09

Bibliographical note

Copyright:
Copyright 2010 Elsevier B.V., All rights reserved.

Keywords

  • Cautious controller
  • Functional uncertainties
  • Nonlinear functions
  • Stochastic systems

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