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Multi-Symmetric Lyapunov Equations
2023
发表期刊IEEE CONTROL SYSTEMS LETTERS (IF:2.4[JCR-2023],2.4[5-Year])
ISSN2475-1456
EISSN2475-1456
卷号7页码:1-1
发表状态已发表
DOI10.1109/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
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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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