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Mathematics > Optimization and Control

arXiv:2210.04486 (math)
[Submitted on 10 Oct 2022]

Title:Adaptive dynamic programming-based algorithm for infinite-horizon linear quadratic stochastic optimal control problems

Authors:Heng Zhang
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Abstract:This paper investigates an infinite-horizon linear quadratic stochastic (LQS) optimal control problem for a class of continuous-time stochastic systems. By employing the technique of adaptive dynamic programming (ADP), we propose a novel model-free policy iteration (PI) algorithm. Without needing all information of the system coefficient matrices, the proposed PI algorithm iterates by using the data of the input and system state collected on a fixed time interval. Finally, a numerical example is presented to demonstrate the feasibility of the obtained algorithm.
Subjects: Optimization and Control (math.OC)
Cite as: arXiv:2210.04486 [math.OC]
  (or arXiv:2210.04486v1 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.2210.04486

Submission history

From: Heng Zhang [view email]
[v1] Mon, 10 Oct 2022 08:27:53 UTC (12 KB)
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