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The piecewise parametric optimal control of uncertain linear quadratic models

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  • Bo Li
  • Yuanguo Zhu

Abstract

The optimal control of linear quadratic model is given in a feedback form and determined by the solution of a Riccati equation. However, the control-related Riccati equation usually cannot be solved analytically such that the form of optimal control will become more complex. In this paper, we consider a piecewise parametric optimal control problem of uncertain linear quadratic model for simplifying the form of optimal control. By introducing a piecewise control parameter, a piecewise parametric optimal control model is established. Then we present a parametric optimisation method for solving the optimal piecewise control parameter. Finally, an uncertain inventory-promotion optimal control problem is discussed and a comparison is made to show the effectiveness of proposed piecewise parametric optimal control model.

Suggested Citation

  • Bo Li & Yuanguo Zhu, 2019. "The piecewise parametric optimal control of uncertain linear quadratic models," International Journal of Systems Science, Taylor & Francis Journals, vol. 50(5), pages 961-969, April.
    • Handle: RePEc:taf:tsysxx:v:50:y:2019:i:5:p:961-969
    DOI: 10.1080/00207721.2019.1586003
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