Guaranteed performance control for discrete-time LQG problems

Authors:	Li Duan, Chinese University of Hong Kong, Hong Kong Fu Peilin, Chinese University of Hong Kong, Hong Kong Qian Fucai, Xi'an University of Technology, China
Topic:	2.4 Optimal Control
Session:	Optimal Control Theory and Design Methods
Keywords:	linear-quadratic Gaussian control, stochastic control, optimal control

Abstract

Guaranteed performance control is considered in this paper fordiscrete-time LQG problems by minimizing the probability that theperformance index is over a preselected threshold. It is proventhat this guaranteed performance control problem can be convertedinto a mean-variance control problem which can be solved by usingan embedding scheme. An optimal open-loop feedback control law isderived for the guaranteed performance control of discrete-timeLQG problems.