Abstract
Sampled-data (SD) based linear quadratic (LQ) control problem of stochastic linear continuous-time (LCT) systems is discussed. Two types of systems are involved. One is time-invariant and the other is time-varying. In addition to stability analysis of the closed-loop systems, the index difference between SD-based LQ control and conventional LQ control is investigated. It is shown that when sample time ΔT is small, so is the index difference. In addition, the upper bounds of the differences are also presented, which areO(ΔT 2) andO(ΔT), respectively.
Similar content being viewed by others
References
Åström, K. J., Wittenmark, B., Computer Control Systems — Theory and Design, Englewood Cliffs, N.J.: Prentice-Hall Inc., 1984.
Hagiwara, T., Araki, M., Design of a stable state feedback controller based on the multirate sampling of the plant output, IEEE Trans. on Automatic Control, 1988, 33(9): 812–819.
Francis, B. A., Georgiou, T. T., Stability theory for linear time-invariant plants with periodic digital controllers, IEEE Trans. on Automatic Control, 1988, 33(9): 820–832.
Chen, T. W., Francis, B., Optimal Sampled-Data Control Systems, London: Springer-Verlag, 1995.
Brockwell, A., Borovkov, K., Evans, R., Stability of an adaptive regulator for partially known nonlinear stochastic systems, SIAM J. Control and Optimization, 1999, 37(5): 1553–1567.
Xue, F., Guo, L., On limitations of the sampled-data feedback for nonparametric dynamical systems, Journal of Systems Science and Complexity, 2002, 15(3): 225–250.
Duncan, T. E., Guo, L., Pasik-Duncan, B., Adaptive continuous-time linear quadratic Gaussian control, IEEE Trans. Automatic Control, 1999, 44(9): 1653–1662.
Chen, H. F., Guo, L., Identification and stochastic adaptive control, Boston, MA: Birkhauser, 1991.
Freedman, D., Markov Chain, New York: Springer-Verlag, 1983.
Wonham, W. M., Random differential equations in control theory, in Probabilistic Methods in Applied Mathematics (ed. Bharucha-reid, A. T.), Vol. 2, New York: Academic, 1971.
Ji, Y. D., Chizeck, H. J., Controllability, stabilizability and continuous-time Markovian jump linear quadratic control, IEEE Trans. Automatic Control, 1990, 35(7): 777–788.
Ji, Y. D., Chizeck, H. J., Jump linear quadratic Guassian control in continuous time, IEEE Trans. Automatic Control, 1992, 37(12): 1884–1892.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Yao, L., Zhang, J. Sampled-data-based LQ control of stochastic linear continuous-time systems. Sci China Ser F 45, 383–396 (2002). https://doi.org/10.1007/BF02714095
Received:
Issue Date:
DOI: https://doi.org/10.1007/BF02714095