A linear quadratic model based on multistage uncertain random systems

摘要

In this paper, a linear quadratic (LQ) optimal control model is studied for a multistage uncertain random system. First, recurrence equations are presented for this model based on Bellman's Principle. Second, analytical expressions are derived for solving both the optimal objective function and the optimal control strategy of the model. Finally, an example is given to illustrate our results. (C) 2018 European Control Association. Published by Elsevier Ltd. All rights reserved.