A gradient flow approach to computing a non-linear discrete time quadratic optimal feedback gain matrix

A gradient flow approach to computing a non-linear discrete time quadratic optimal feedback gain matrix

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Article ID: iaor19962196
Country: United Kingdom
Volume: 17
Issue: 1
Start Page Number: 29
End Page Number: 43
Publication Date: Jan 1996
Journal: Optimal Control Applications & Methods
Authors: , , ,
Abstract:

This paper proposes an approach to solving infinite planning horizon quadratic optimal regulator problems with linear static state feedback for discrete time systems. The approach is based on solving a sequence of approximate problems constructed by combining a finite horizon problem with an infinite horizon linear problem. A gradient-flow algorithm is derived to solve the approximate problems. As part of this, a new algorithm is derived for computing the gradient of the cost functional, based on a system of difference equations to be solved completely forward in time. Two numerical examples are presented.

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