an:07056968
Zbl 1412.93049
Chen, Xin; Zhu, Yuanguo; Li, Bo; Yan, Hongyan
A linear quadratic model based on multistage uncertain random systems
EN
Eur. J. Control 47, 37-43 (2019).
00432928
2019
j
93C41 93E03 49N10
linear quadratic; optimal control; uncertain random system
Summary: In this paper, a linear quadratic (LQ) optimal control model is studied for a multistage uncertain random system. First, recurrence equations are presented for this model based on Bellman's principle. Second, analytical expressions are derived for solving both the optimal objective function and the optimal control strategy of the model. Finally, an example is given to illustrate our results.