The dynamic programming approach to multi-model robust optimization

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• 作者：Vadim Azhmyakov ; Vladimir Boltyanski ; Alex ; er Poznyak
• 关键词：Multi-model control systems ; Optimal control ; The dynamic programming
• 刊名：Nonlinear Analysis
• 出版年：2010
• 出版时间：15 January 2010
• 年：2010
• 卷：72
• 期：2
• 页码：1110-1119
• 全文大小：595 K

文摘

The aim of this paper is to extend the dynamic programming (DP) approach to multi-model optimal control problems (OCPs). We deal with robust optimization of multi-model control systems and are particularly interested in the Hamilton–Jacobi–Bellman (HJB) equation for the above class of problems. In this paper, we study a variant of the HJB for multi-model OCPs and examine the natural relationship between the Bellman DP techniques and the Robust Maximum Principle (MP). Moreover, we describe how to carry out the practical calculations in the context of multi-model LQ-problems and derive the associated Riccati-type equation.