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A distributed stochastic approximation algorithm for stochastic LQ control with unknown uncertainty
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DOI：10.1016/j.automatica.2023.110917.png)
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Abstract
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This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on control systems whose system matrices are associated with random parameters involving unknown statistical properties. We design a distributed stochastic approximation algorithm to tackle the Riccati equation and derive the optimal controller stabilizing the system. The convergence analysis is provided.(c) 2023 Elsevier Ltd. All rights reserved.
Keywords:
Distributed stochastic approximation
Stochastic control
Multiplicative noise
Unknown statistics
Journal
IF:
5.9
Papers:
1.2W
Citations:
5.2W