An integrated optimal control algorithm for discrete-time nonlinear stochastic system
Consider a discrete-time nonlinear system with random disturbances appearing in the real plant and the output channel where the randomly perturbed output is measurable. An iterative procedure based on the linear quadratic Gaussian optimal control model is developed for solving the optimal control of...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Taylor & Francis
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/27941 |
| _version_ | 1848752402679726080 |
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| author | Kek, S. Teo, Kok Lay Ismail, A. |
| author_facet | Kek, S. Teo, Kok Lay Ismail, A. |
| author_sort | Kek, S. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Consider a discrete-time nonlinear system with random disturbances appearing in the real plant and the output channel where the randomly perturbed output is measurable. An iterative procedure based on the linear quadratic Gaussian optimal control model is developed for solving the optimal control of this stochastic system. The optimal state estimate provided by Kalman filtering theory and the optimal control law obtained from the linear quadratic regulator problem are then integrated into the dynamic integrated system optimisation and parameter estimation algorithm. The iterative solutions of the optimal control problem for the model obtained converge to the solution of the original optimal control problem of the discrete-time nonlinear system, despite model-reality differences, when the convergence is achieved. An illustrative example is solved using the method proposed. The results obtained show the effectiveness of the algorithm proposed. |
| first_indexed | 2025-11-14T08:08:03Z |
| format | Journal Article |
| id | curtin-20.500.11937-27941 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:08:03Z |
| publishDate | 2010 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-279412017-09-13T16:07:20Z An integrated optimal control algorithm for discrete-time nonlinear stochastic system Kek, S. Teo, Kok Lay Ismail, A. model-reality differences optimal control iterative algorithm discrete-time nonlinear stochastic system Kalman filtering Consider a discrete-time nonlinear system with random disturbances appearing in the real plant and the output channel where the randomly perturbed output is measurable. An iterative procedure based on the linear quadratic Gaussian optimal control model is developed for solving the optimal control of this stochastic system. The optimal state estimate provided by Kalman filtering theory and the optimal control law obtained from the linear quadratic regulator problem are then integrated into the dynamic integrated system optimisation and parameter estimation algorithm. The iterative solutions of the optimal control problem for the model obtained converge to the solution of the original optimal control problem of the discrete-time nonlinear system, despite model-reality differences, when the convergence is achieved. An illustrative example is solved using the method proposed. The results obtained show the effectiveness of the algorithm proposed. 2010 Journal Article http://hdl.handle.net/20.500.11937/27941 10.1080/00207179.2010.531766 Taylor & Francis restricted |
| spellingShingle | model-reality differences optimal control iterative algorithm discrete-time nonlinear stochastic system Kalman filtering Kek, S. Teo, Kok Lay Ismail, A. An integrated optimal control algorithm for discrete-time nonlinear stochastic system |
| title | An integrated optimal control algorithm for discrete-time nonlinear stochastic system |
| title_full | An integrated optimal control algorithm for discrete-time nonlinear stochastic system |
| title_fullStr | An integrated optimal control algorithm for discrete-time nonlinear stochastic system |
| title_full_unstemmed | An integrated optimal control algorithm for discrete-time nonlinear stochastic system |
| title_short | An integrated optimal control algorithm for discrete-time nonlinear stochastic system |
| title_sort | integrated optimal control algorithm for discrete-time nonlinear stochastic system |
| topic | model-reality differences optimal control iterative algorithm discrete-time nonlinear stochastic system Kalman filtering |
| url | http://hdl.handle.net/20.500.11937/27941 |