Elsevier

Automatica

Volume 34, Issue 8, August 1998, Pages 1031-1034
Automatica

Technical Communique
Discrete-Time Optimal Control with Control-Dependent Noise and Generalized Riccati Difference Equations

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Abstract

The optimal control law is derived for discrete-time linear stochastic systems with quadratic performance criterion and control-dependent noise. The analysis includes the study of a generalized Riccati difference equation and of the asymptotic behavior of its solutions.

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This paper was recommended for publication in revised form by Editor Peter Dorato.

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