October  2000, 6(4): 803-808. doi: 10.3934/dcds.2000.6.803

A gradient flow approach for computing jump linear quadratic optimal feedback gains

1. 

Department of Computational and Applied Mathematics, University of The Witwatersrand, Johannesburg, South Africa, South Africa, South Africa

Received  October 1998 Revised  May 2000 Published  August 2000

A class of linear systems subject to sudden jumps in parameter values is considered. To solve this class of stochastic control problem, we try to find the best feedback control law depending both on the measurable output as well as the mode of the system. A gradient flow based algorithm is derived for this problem. It is shown that an optimal solution can be successfully computed by finding the limiting solution of an ordinary differential equation which is given in terms of the gradient flow associated with the cost function. Several important properties are obtained. A numerical example is solved.
Citation: K.H. Wong, C. Myburgh, L. Omari. A gradient flow approach for computing jump linear quadratic optimal feedback gains. Discrete & Continuous Dynamical Systems - A, 2000, 6 (4) : 803-808. doi: 10.3934/dcds.2000.6.803
[1]

Jian Chen, Tao Zhang, Ziye Zhang, Chong Lin, Bing Chen. Stability and output feedback control for singular Markovian jump delayed systems. Mathematical Control & Related Fields, 2018, 8 (2) : 475-490. doi: 10.3934/mcrf.2018019

[2]

Rohit Gupta, Farhad Jafari, Robert J. Kipka, Boris S. Mordukhovich. Linear openness and feedback stabilization of nonlinear control systems. Discrete & Continuous Dynamical Systems - S, 2018, 11 (6) : 1103-1119. doi: 10.3934/dcdss.2018063

[3]

Russell Johnson, Carmen Núñez. Remarks on linear-quadratic dissipative control systems. Discrete & Continuous Dynamical Systems - B, 2015, 20 (3) : 889-914. doi: 10.3934/dcdsb.2015.20.889

[4]

Jianhui Huang, Xun Li, Jiongmin Yong. A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon. Mathematical Control & Related Fields, 2015, 5 (1) : 97-139. doi: 10.3934/mcrf.2015.5.97

[5]

Kai Du, Jianhui Huang, Zhen Wu. Linear quadratic mean-field-game of backward stochastic differential systems. Mathematical Control & Related Fields, 2018, 8 (3&4) : 653-678. doi: 10.3934/mcrf.2018028

[6]

Zhenyu Lu, Junhao Hu, Xuerong Mao. Stabilisation by delay feedback control for highly nonlinear hybrid stochastic differential equations. Discrete & Continuous Dynamical Systems - B, 2019, 24 (8) : 4099-4116. doi: 10.3934/dcdsb.2019052

[7]

Galina Kurina, Sahlar Meherrem. Decomposition of discrete linear-quadratic optimal control problems for switching systems. Conference Publications, 2015, 2015 (special) : 764-774. doi: 10.3934/proc.2015.0764

[8]

Cătălin-George Lefter, Elena-Alexandra Melnig. Feedback stabilization with one simultaneous control for systems of parabolic equations. Mathematical Control & Related Fields, 2018, 8 (3&4) : 777-787. doi: 10.3934/mcrf.2018034

[9]

Sigurdur Hafstein, Skuli Gudmundsson, Peter Giesl, Enrico Scalas. Lyapunov function computation for autonomous linear stochastic differential equations using sum-of-squares programming. Discrete & Continuous Dynamical Systems - B, 2018, 23 (2) : 939-956. doi: 10.3934/dcdsb.2018049

[10]

Nguyen Dinh Cong, Nguyen Thi Thuy Quynh. Coincidence of Lyapunov exponents and central exponents of linear Ito stochastic differential equations with nondegenerate stochastic term. Conference Publications, 2011, 2011 (Special) : 332-342. doi: 10.3934/proc.2011.2011.332

[11]

Xingwu Chen, Jaume Llibre, Weinian Zhang. Averaging approach to cyclicity of hopf bifurcation in planar linear-quadratic polynomial discontinuous differential systems. Discrete & Continuous Dynamical Systems - B, 2017, 22 (10) : 3953-3965. doi: 10.3934/dcdsb.2017203

[12]

Hongyan Yan, Yun Sun, Yuanguo Zhu. A linear-quadratic control problem of uncertain discrete-time switched systems. Journal of Industrial & Management Optimization, 2017, 13 (1) : 267-282. doi: 10.3934/jimo.2016016

[13]

Tyrone E. Duncan. Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions. Discrete & Continuous Dynamical Systems - A, 2015, 35 (11) : 5435-5445. doi: 10.3934/dcds.2015.35.5435

[14]

Shigeaki Koike, Hiroaki Morimoto, Shigeru Sakaguchi. A linear-quadratic control problem with discretionary stopping. Discrete & Continuous Dynamical Systems - B, 2007, 8 (2) : 261-277. doi: 10.3934/dcdsb.2007.8.261

[15]

M. S. Mahmoud, P. Shi, Y. Shi. $H_\infty$ and robust control of interconnected systems with Markovian jump parameters. Discrete & Continuous Dynamical Systems - B, 2005, 5 (2) : 365-384. doi: 10.3934/dcdsb.2005.5.365

[16]

Yanqing Liu, Yanyan Yin, Kok Lay Teo, Song Wang, Fei Liu. Probabilistic control of Markov jump systems by scenario optimization approach. Journal of Industrial & Management Optimization, 2019, 15 (3) : 1447-1453. doi: 10.3934/jimo.2018103

[17]

Lars Grüne, Peter E. Kloeden, Stefan Siegmund, Fabian R. Wirth. Lyapunov's second method for nonautonomous differential equations. Discrete & Continuous Dynamical Systems - A, 2007, 18 (2&3) : 375-403. doi: 10.3934/dcds.2007.18.375

[18]

Yuyun Zhao, Yi Zhang, Tao Xu, Ling Bai, Qian Zhang. pth moment exponential stability of hybrid stochastic functional differential equations by feedback control based on discrete-time state observations. Discrete & Continuous Dynamical Systems - B, 2017, 22 (1) : 209-226. doi: 10.3934/dcdsb.2017011

[19]

Eduardo Liz, Gergely Röst. On the global attractor of delay differential equations with unimodal feedback. Discrete & Continuous Dynamical Systems - A, 2009, 24 (4) : 1215-1224. doi: 10.3934/dcds.2009.24.1215

[20]

Jaume Llibre, Claudia Valls. Algebraic limit cycles for quadratic polynomial differential systems. Discrete & Continuous Dynamical Systems - B, 2018, 23 (6) : 2475-2485. doi: 10.3934/dcdsb.2018070

2018 Impact Factor: 1.143

Metrics

  • PDF downloads (10)
  • HTML views (0)
  • Cited by (0)

Other articles
by authors

[Back to Top]