RICCATI SOLUTION FOR DISCRETE STOCHASTIC SYSTEMS WITH STATE AND CONTROL DEPENDENT NOISE

Randa Herzallah

2009

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.

Paper Citation

in Harvard Style

Herzallah R. (2009). RICCATI SOLUTION FOR DISCRETE STOCHASTIC SYSTEMS WITH STATE AND CONTROL DEPENDENT NOISE . In Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, ISBN 978-989-8111-99-9, pages 115-120. DOI: 10.5220/0002160501150120

in Bibtex Style

@conference{icinco09,
author={Randa Herzallah},
title={RICCATI SOLUTION FOR DISCRETE STOCHASTIC SYSTEMS WITH STATE AND CONTROL DEPENDENT NOISE},
booktitle={Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,},
year={2009},
pages={115-120},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0002160501150120},
isbn={978-989-8111-99-9},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,
TI - RICCATI SOLUTION FOR DISCRETE STOCHASTIC SYSTEMS WITH STATE AND CONTROL DEPENDENT NOISE
SN - 978-989-8111-99-9
AU - Herzallah R.
PY - 2009
SP - 115
EP - 120
DO - 10.5220/0002160501150120