Abstract
This paper is concerned with a linear quadratic (LQ) optimal control for discrete-time uncertain systems, with indefinite state and control weighting matrices in the cost function. Firstly, a recurrence equation of general optimal control problem for discrete-time uncertain systems is obtained by applying Bellman’s principle of optimality. Then, the optimal state feedback control is obtained based on the recurrence equation. Moreover, a sufficient condition of well-posedness for the LQ problem is proposed and a general expression for the optimal control set is given. Furthermore, a numerical example is presented by using the obtained results. Finally, as an application of the indefinite LQ optimal control, an optimal production inventory problem of uncertain environment is solved.
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Acknowledgements
This study was funded by the National Natural Science Foundation of China (No. 61673011), the Training Plan of Young Key Teachers in Universities of Henan Province (No. 2018GGJS096) and the Nanhu Scholars Program for Young Scholars of XYNU.
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Chen, Y., Zhu, Y. Indefinite LQ optimal control for discrete-time uncertain systems. Soft Comput 24, 267–279 (2020). https://doi.org/10.1007/s00500-019-04350-3
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DOI: https://doi.org/10.1007/s00500-019-04350-3