Average optimal stationary policies: convexity and convergence conditions in linear stochastic control systems

Autor(es)

Vargas, Alessandro N. ; do Val, Joao B. R. ; IEEE

• Tipo de documento: Artigo Científico
• Fonte: PROCEEDINGS OF THE 48TH IEEE CONFERENCE ON DECISION AND CONTROL, 2009 HELD JOINTLY WITH THE 2009 28TH CHINESE CONTROL CONFERENCE (CDC/CCC 2009); v. N/A, p. 6-pg., 2009-01-01.

Resumo

This paper provides a set of conditions for the existence of an optimal stationary policy in the long-run average cost control problem of linear stochastic systems. The main conditions are based on convexity of the cost by stage and convergence of trajectories. The discrete-time system is assumed to be linear with respect to the state but the controls take an abstract state-feedback structure, possibly a nonlinear one. An application is considered to illustrate the derived theory. (AU)

• Processo FAPESP: 04/06947-0 - Sistemas lineares sujeitos a saltos markovianos: estabilidade e controle com observacao incompleta da cadeia.
• Beneficiário: Alessandro Do Nascimento Vargas
• Modalidade de apoio: Bolsas no Brasil - Doutorado
• Processo FAPESP: 03/06736-7 - Controle e filtragem de sistemas estocásticos markovianos com saltos nos parâmetros
• Beneficiário: João Bosco Ribeiro do Val
• Modalidade de apoio: Auxílio à Pesquisa - Temático