奇异LQ最优控制的线性迭代计算方法

Computation of LQ Singular Optimal Control

摘要:

利用经典LQ最优控制的Riccati方程的线性迭代法研究一类奇异LQ最优控制问题. 对于线性迭代序列的收敛性进行了分析并且给出了算法. 本文利用这一迭代方法，给出三个例子，迭代逼近奇异LQ最优控制问题的最优值.

关键词:奇异LQ最优控制; 经典LQ最优控制; Riccati矩阵微分方程

Abstract:

In this paper, a class of LQ singular optimal control problems is investigated by an iteration process of Riccati differential equation for classical LQ optimal control problem. The convergence result is obtained to give an algorithm for computing the optimal value of this kind of problem. Moreover, three examples are given to illustrate the iteration process.

Key words:Singular LQ optimal control, LQ optimal control, Riccati matrix differential equation