Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4599164 | Linear Algebra and its Applications | 2015 | 37 Pages |
Abstract
Efficient Riccati equation based techniques for the approximate solution of discrete time linear regulator problems are restricted in their application to problems with quadratic terminal payoffs. Where non-quadratic terminal payoffs are required, these techniques fail due to the attendant non-quadratic value functions involved. In order to compute these non-quadratic value functions, it is often necessary to appeal directly to dynamic programming in the form of grid- or element-based iterations for the value function. These iterations suffer from poor scalability with respect to problem dimension and time horizon. In this paper, a new max-plus based method is developed for the approximate solution of discrete time linear regulator problems with non-quadratic payoffs. This new method is underpinned by the development of new fundamental solutions to such linear regulator problems, via max-plus duality. In comparison with a typical grid-based approach, a substantial reduction in computational effort is observed in applying this new max-plus method. A number of simple examples are presented that illustrate this and other observations.
Related Topics
Physical Sciences and Engineering
Mathematics
Algebra and Number Theory
Authors
Huan Zhang, Peter M. Dower,