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Stabilization of linear systems in random horizon via control

Kozłowski E.

Control and Cybernetics

2013

Vol. 42, no. 2

527--541

The control problem with random horizon at finie number of events is investigated in this paper, where the general aim of control is the stabilization (in mean square sense) of linear system at minimum cost. This problem is reduced to the task of optima control with established finite horizon. Moreover, the differences between stabilization with fixed and random horizons are also given. To illustrate those differences a numerical example is included.

The linear quadratic stochastic optimal control problem with random horizon at finite number of events independent of states system

Kozłowski E.

Systems Science

2010

Vol. 36, no 3

5-11

The aim of the article is to expand the results of the theory of Linear Quadratic Control (the state of the system is described by the stochastic linear equation and the performance criterion has a quadratic form) in the case of random horizon independent of the states of the system. In the present case, the control horizon is a random variable with a discrete distribution and has a limited number of possible realizations (events). This situation is dependent on an external factor (generally independent of the system) and has a random character.

The linear-quadratic stochastic optimal control problem with random horizon at the finite number of infinitesimal events

Kozłowski E.

Annales Universitatis Mariae Curie-Skłodowska. Sectio AI, Informatica

2010

Vol. 10, no. 1

103--115

The aim of the article is to expand the results of the theory of Linear Quadratic Control (the state of the system is described with the help of stochastic linear equation while the quality coefficient is of a quadratic form) in the case of random horizon independent of the states of the system. As for the question under consideration the control system horizon is an independent variable with a discreet decomposition and has got a limited number of possible accomplishments. The above mentioned situation takes places when the number of controls is brought out by the outside factor (generally independent of the system).