Optimal Stochastic Control of Linear Stochastic Systems with Poisson Process Coefficients

Abstract

The authors obtain results similar to those for LQG problems on the control system structure for optimal linear quadratic regulator problems with Poisson noise disturbances. If the coefficient matrices of the system dynamics and the performance index are constant, the optimal control of the finite time problem converges to the time-invariant control of the infinite time problem quasi-uniformly, almost surely. Both the long-term average cost criterion and the discounted cost criterion are investigated for infinite time problems.

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Document Details

Document Type
Technical Report
Publication Date
Sep 07, 1985
Accession Number
ADA448196

Entities

People

  • C. W. Li
  • G. L. Blankenship

Organizations

  • University of Maryland

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Applied Mathematics
  • Coefficients
  • Control Systems
  • Electrical Engineering
  • Engineering
  • Information Operations
  • Maryland
  • Mathematics
  • Probability
  • Regulators
  • Stochastic Control
  • Stochastic Processes
  • Systems Engineering
  • Universities

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.