Minimum second moment state for the existence of average optimal stationary policies in linear stochastic systems

Autor(es)

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

• Tipo de documento: Artigo Científico
• Fonte: 2010 AMERICAN CONTROL CONFERENCE; v. N/A, p. 5-pg., 2010-01-01.

Resumo

This note considers the long-run average cost control problem for a class of discrete-time stochastic systems. The stochastic system is assumed to be linear with respect to the state but the controls possess a general structure, possibly a nonlinear one. The main contribution of this paper is to show that the existence of a minimal second moment system state implies the existence of an optimal stationary policy for the long-run average cost problem. A numerical example illustrates the derived result. (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