کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
756632 | 896200 | 2009 | 5 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Performance bounds for linear stochastic control Performance bounds for linear stochastic control](/preview/png/756632.png)
We develop computational bounds on performance for causal state feedback stochastic control with linear dynamics, arbitrary noise distribution, and arbitrary input constraint set. This can be very useful as a comparison with the performance of suboptimal control policies, which we can evaluate using Monte Carlo simulation. Our method involves solving a semidefinite program (a linear optimization problem with linear matrix inequality constraints), a convex optimization problem which can be efficiently solved. Numerical experiments show that the lower bound obtained by our method is often close to the performance achieved by several widely-used suboptimal control policies, which shows that both are nearly optimal. As a by-product, our performance bound yields approximate value functions that can be used as control Lyapunov functions for suboptimal control policies.
Journal: Systems & Control Letters - Volume 58, Issue 3, March 2009, Pages 178–182