A convergent algorithm for the output covariance constraint control problem

被引:61
作者
Zhu, G
Rotea, MA
Skelton, R
机构
[1] PURDUE UNIV, SPACE SYST CONTROL LAB, W LAFAYETTE, IN 47907 USA
[2] PURDUE UNIV, SCH AERONAUT & ASTRONAUT, W LAFAYETTE, IN 47907 USA
关键词
covariance control; convergent algorithm;
D O I
10.1137/S0363012994263974
中图分类号
TP [自动化技术、计算机技术];
学科分类号
0812 ;
摘要
This paper considers the optimal control problem of minimizing control effort subject to multiple performance constraints on output covariance matrices Y-i of the form Y-i less than or equal to (Y) over bar(i), where (Y) over bar(i) is given. The contributions of this paper are a set of conditions that characterize global optimality, and an iterative algorithm for finding a solution to the optimality conditions. This iterative algorithm is completely described up to a user-specified parameter. We show that, under suitable assumptions on problem data, the iterative algorithm converges to a solution of the optimality conditions, provided that this parameter is properly chosen. Both discrete- and continuous-time problems are considered.
引用
收藏
页码:341 / 361
页数:21
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