RICCATI SOLUTION FOR DISCRETE STOCHASTIC SYSTEMS WITH STATE AND CONTROL DEPENDENT NOISE

Randa Herzallah

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Paper

RICCATI SOLUTION FOR DISCRETE STOCHASTIC SYSTEMS WITH STATE AND CONTROL DEPENDENT NOISE

Topics: Optimization Algorithms; System Identification

In Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, 115-120, 2009 , Milan, Italy

Author: Randa Herzallah

Affiliation: Al-Balqa’ Applied University, Jordan

Keyword(s): Functional uncertainties, Cautious controller, Stochastic systems, Nonlinear functions.

Related Ontology Subjects/Areas/Topics: Informatics in Control, Automation and Robotics ; Intelligent Control Systems and Optimization ; Optimization Algorithms ; Signal Processing, Sensors, Systems Modeling and Control ; System Identification

Abstract: In this paper we present the Riccati solution of linear quadratic control problems with input and state dependent noise which is encountered during our previous study to the adaptive critic solution for systems characterized by functional uncertainty. Uncertainty of the system equations is quantified using a state and control dependent noise model. The derived optimal control law is shown to be of cautious type controllers. The derivation of the Riccati solution is via the principle of optimality. The Riccati solution is implemented to linear multi dimensional control problem and compared to the certainty equivalent Riccati solution.

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Paper citation in several formats:

Herzallah, R. (2009). RICCATI SOLUTION FOR DISCRETE STOCHASTIC SYSTEMS WITH STATE AND CONTROL DEPENDENT NOISE. In Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO; ISBN 978-989-8111-99-9; ISSN 2184-2809, SciTePress, pages 115-120. DOI: 10.5220/0002160501150120

@conference{icinco09,
author={Randa Herzallah.},
title={RICCATI SOLUTION FOR DISCRETE STOCHASTIC SYSTEMS WITH STATE AND CONTROL DEPENDENT NOISE},
booktitle={Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO},
year={2009},
pages={115-120},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0002160501150120},
isbn={978-989-8111-99-9},
issn={2184-2809},
}

TY - CONF

JO - Proceedings of the 6th International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO
TI - RICCATI SOLUTION FOR DISCRETE STOCHASTIC SYSTEMS WITH STATE AND CONTROL DEPENDENT NOISE
SN - 978-989-8111-99-9
IS - 2184-2809
AU - Herzallah, R.
PY - 2009
SP - 115
EP - 120
DO - 10.5220/0002160501150120
PB - SciTePress