摘要
研究了离散时间时变Markov跳变系统在有限时域上的最优控制问题。证明了任何离散时间时变Markov跳变系统的最优控制问题都可以通过广义代数Riccati方程的解来确定;也证明了最优控制问题的可达性是广义代数Riccati方程解的存在性的充分条件;最后通过数值举例来验证结果的正确性。
The optimal control of discrete-time time-varying Markov jump systems in infinite horizon is stud-ied. It is proved that the optimal control problem of any discrete time time-varying Markov jump system can be determined by the solution of generalized algebraic Riccati equation. It is also proved that the attainablility of the optimal control problem is a sufficient condition for the existence of so-lutions of generalized algebraic Riccati equations. Finally, numerical examples are given to verify the correctness of the results.
出处
《应用数学进展》
2023年第5期2569-2581,共13页
Advances in Applied Mathematics
