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A parametric optimization approach for uncertain linear quadratic models. (English) Zbl 1380.49049
Summary: As it is well known, the optimal control of linear quadratic model is given in a feedback form, which is determined by the solution of a Riccati equation. However, the corresponding Riccati equation cannot be solved analytically in many cases. Even if an analytic solution can be obtained, it might be a complex time-oriented function. In this paper, we introduce an approximate model with parameter for simplifying the form of optimal control of uncertain linear quadratic model. First, we discuss an optimal control problem of uncertain linear quadratic model and deduce an analytic expression of optimal control. Then, we formulate an approximate model with parameter and present a parametric optimization method for solving the optimal parameter. Finally, a production planning problem is given to illustrate the efficiency of the proposed approximate model and parametric optimization approach.
##### MSC:
 49N10 Linear-quadratic optimal control problems 49M30 Other numerical methods in calculus of variations (MSC2010) 93C41 Control/observation systems with incomplete information
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