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Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems. (English) Zbl 1412.49068
Summary: Uncertainty theory is a branch of axiomatic mathematics that deals with human uncertainty. Based on uncertainty theory, this paper discusses linear quadratic (LQ) optimal control with process state inequality constraints for discrete-time uncertain systems, where the weighting matrices in the cost function are assumed to be indefinite. By means of the maximum principle with mixed inequality constraints, we present a necessary condition for the existence of optimal state feedback control that involves a constrained difference equation. Moreover, the existence of a solution to the constrained difference equation is equivalent to the solvability of the indefinite LQ problem. Furthermore, the well-posedness of the indefinite LQ problem is proved. Finally, an example is provided to demonstrate the effectiveness of our theoretical results.

MSC:
49N10 Linear-quadratic optimal control problems
49L20 Dynamic programming in optimal control and differential games
65K05 Numerical mathematical programming methods
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