Solution of the state-dependent noise optimal control problem in terms of Lyapunov iterations

摘要

In this paper we present the solution to the algebraic Riccati-type equation of the state-dependent noise linear quadratic optimal control problem in terms of algebraic Lyapounov iterations. By properly initializing the sequence of algebraicRiccati-type equation (the solution that presents the optimal solution to the corresponding optimal control problem). The proposed algorithm requires much less computational efforts than those previously used to solve the same problem.