JACIII Vol.20 No.4 pp. 633-639
doi: 10.20965/jaciii.2016.p0633


Discrete-Time Uncertain LQ Optimal Control with Indefinite Control Weight Costs

Yuefen Chen*,† and Liubao Deng**

*College of Mathematics and Information Science, Xinyang Normal University
Xinyang 464000, China

**School of Finance, Anhui University of Finance and Economics
Bengbu 233030, China

Corresponding author

January 10, 2016
May 6, 2016
July 19, 2016
uncertain LQ optimal control, indefinite control weight costs, well-posedness

This paper deals with a discrete-time uncertain linear quadratic (LQ) optimal control, where the control weight costs are indefinite . Based on Bellman’s principle of optimality, the recurrence equation of the uncertain LQ optimal control is proposed. Then, by using the recurrence equation, a necessary condition of the optimal state feedback control for the LQ problem is obtained. Moreover, a sufficient condition of well-posedness for the LQ problem is presented. Furthermore, an algorithm to compute the optimal control and optimal value is provided. Finally, a numerical example to illustrate that the LQ problem is still well-posedness with indefinite control weight costs.

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Last updated on Jul. 28, 2017