首页|Value iteration algorithm for continuous-time linear quadratic stochastic optimal control problems

Value iteration algorithm for continuous-time linear quadratic stochastic optimal control problems

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In this study,we investigate a continuous-time infinite-horizon linear quadratic stochastic optimal control problem with multiplicative noise in control and state variables.Using the techniques of stochastic stability,exact observability,and stochastic approximation,a value iteration algorithm is developed to solve the corresponding generalized algebraic Riccati equation.Unlike the existing policy iteration algorithm,this algorithm does not rely on an initial stabilizing control.Further,this algorithm can also be used to compute policy evaluation steps that arise in the policy iteration algorithm.Herein,a simulation example is provided to validate the obtained results.

stochastic systemsoptimal controllinear quadratic stochastic problemgeneralized algebraic Riccati equationvalue iteration algorithm

Guangchen WANG、Heng ZHANG

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School of Control Science and Engineering,Shandong University,Jinan 250061,China

National Natural Science Foundation of ChinaNational Natural Science Foundation of ChinaNational Natural Science Foundation of ChinaNational Key R&D Program of ChinaNatural Science Foundation of Shandong ProvinceNatural Science Foundation of Shandong Province

6192530661821004118310102022YFA1006103ZR2019ZD42ZR2020ZD24

2024

10.1007/s11432-023-3820-3

中国科学:信息科学(英文版)
中国科学院

中国科学:信息科学(英文版)

CSTPCDEI
影响因子：0.715
ISSN：1674-733X
年,卷(期)：2024.67(2)
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