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A Direct Method for Solution to Problems of Time-continuous LQR Via BPFs
Xu Maozeng
1988, 7(3):
84-95.
In this paper a new method for solution to the problems of the time-continuous linear quatratic regulator (LQR) via block-pulse functions (BPFs) is proposed. The basic idea of the method is that a problem of the LQR is first converted to a special kind of problem of multi-stage dynamic programming by using some properties of the BPFs and introducing some implemental quantities. And then a recursive algorithm for solution to the latter is derived by the well-known principle of optimality. Unlike the methods used in literatures[l],[2],[3],[4],the method presented here avoids computing the inverses of matrices with dimension 2n×2n where n is the dimension of the dynamic equation under study. An illustrative example is given,
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