Title

A DETERMINISTIC AFFINE-QUADRATIC OPTIMAL CONTROL PROBLEM

Authors

Authors

Y. C. Wang;J. M. Yong

Comments

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Abbreviated Journal Title

ESAIM-Control OPtim. Calc. Var.

Keywords

Affine quadratic optimal control; dynamic programming; Hamilton-Jacobi-Bellman equation; quasi-Riccati equation; state feedback; representation; STOCHASTIC DIFFERENTIAL-EQUATIONS; RICCATI EQUATION; SYSTEMS; Automation & Control Systems; Mathematics, Applied

Abstract

A deterministic affine-quadratic optimal control problem is considered. Due to the nature of the problem, optimal controls exist under some very mild conditions. Further, it is shown that under some assumptions, the optimal control is unique which leads to the differentiability of the value function. Therefore, the value function satisfies the corresponding Hamilton-Jacobi-Bellman equation in the classical sense, and the optimal control admits a state feedback representation. Under some additional conditions, it is shown that the value function is actually twice differentiable and the so-called quasi-Riccati equation is derived, whose solution can be used to construct the state feedback representation for the optimal control.

Journal Title

Esaim-Control Optimisation and Calculus of Variations

Volume

20

Issue/Number

3

Publication Date

1-1-2014

Document Type

Article

Language

English

First Page

633

Last Page

661

WOS Identifier

WOS:000337948200001

ISSN

1292-8119

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