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ShanghaiTech University Knowledge Management System
Multi-Symmetric Lyapunov Equations | |
2023 | |
发表期刊 | IEEE CONTROL SYSTEMS LETTERS (IF:2.4[JCR-2023],2.4[5-Year]) |
ISSN | 2475-1456 |
EISSN | 2475-1456 |
卷号 | 7页码:1-1 |
发表状态 | 已发表 |
DOI | 10.1109/LCSYS.2022.3187337 |
摘要 | This paper studies multi-symmetric Lyapunov equations and their application to stochastic control. It is shown how Lyapunov recursions can be used to efficiently compute the tensor-valued cumulants of the transient-and limit distributions of stochastic linear systems. This analysis is based on the assumption that the process noise distribution admits a moment expansion but, apart from this, all derivations and numerical algorithms are kept entirely generalwithout introducing any further assumptions on the distribution. Moreover, it is shown both theoretically and numerically how to exploit these recursions to construct accurate approximations of a rather general class of stochastic optimal control problems for linear discrete-time systems with conditional-value-at-risk constraints. IEEE |
关键词 | Digital control systems Discrete time control systems Lyapunov functions Optimal control systems Probability distributions Stochastic control systems Stochastic systems Tensors Discrete time systems Lyapunov equation Moment-based computing Optimal controls Probability: distributions Recursions Stochastic optimal control Symbol Symmetrics Uncertainty |
URL | 查看原文 |
收录类别 | EI ; SCOPUS |
语种 | 英语 |
出版者 | Institute of Electrical and Electronics Engineers Inc. |
EI入藏号 | 20222812350447 |
EI主题词 | Linear systems |
EI分类号 | 731.1 Control Systems ; 921 Mathematics ; 921.1 Algebra ; 922.1 Probability Theory ; 961 Systems Science |
原始文献类型 | Article in Press |
Scopus 记录号 | 2-s2.0-85133753221 |
来源库 | Scopus |
文献类型 | 期刊论文 |
条目标识符 | https://kms.shanghaitech.edu.cn/handle/2MSLDSTB/206313 |
专题 | 信息科学与技术学院 信息科学与技术学院_PI研究组_Boris Houska组 信息科学与技术学院_硕士生 |
作者单位 | School of Information Science and Technology, ShanghaiTech University, Shanghai, China |
第一作者单位 | 信息科学与技术学院 |
第一作者的第一单位 | 信息科学与技术学院 |
推荐引用方式 GB/T 7714 | Xvting Gao,Mario E. Villanueva,Boris Houska. Multi-Symmetric Lyapunov Equations[J]. IEEE CONTROL SYSTEMS LETTERS,2023,7:1-1. |
APA | Xvting Gao,Mario E. Villanueva,&Boris Houska.(2023).Multi-Symmetric Lyapunov Equations.IEEE CONTROL SYSTEMS LETTERS,7,1-1. |
MLA | Xvting Gao,et al."Multi-Symmetric Lyapunov Equations".IEEE CONTROL SYSTEMS LETTERS 7(2023):1-1. |
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