论文标题
连续时间随机线性二次最佳控制问题的无模型值迭代算法
Model-free Value Iteration Algorithm for Continuous-time Stochastic Linear Quadratic Optimal Control Problems
论文作者
论文摘要
本文提出了一种新颖的价值迭代（VI）算法，用于找到一种未知系统的无限 - 摩恩随机线性二次（SLQ）问题的最佳控制。首先，估算了离线算法以获得对我们问题的最佳反馈控制。然后，根据离线算法，提供了基于VI的无模型算法及其收敛证明。无模型算法的主要特征是启动算法不需要稳定控制。最后，我们通过模拟示例验证结果。
This paper presents a novel value iteration (VI) algorithm for finding the optimal control for a kind of infinite-horizon stochastic linear quadratic (SLQ) problem with unknown systems. First, an off-line algorithm is estabilished to obtain the optimal feedback control of our problem. Then, based on the off-line algorithm, the VI-based model-free algorithm and its convergence proof is provided. The main feature of the model-free algorithm is that a stabilizing control is not needed to initiate the algorithm. Finally, we validate our results with a simulation example.
