2022/10/10 by Heng Zhang, Zhang, Heng
Computer Science · Engineering · #Adaptive Dynamic Programming Control #FOS: Mathematics #Frequency Control in Power Systems #Optimization and Control (math.OC)
paper · pdf · doi:10.48550/arxiv.2210.04486
openalex publication_date 2022/10/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper investigates an infinite-horizon linear quadratic stochastic (LQS) optimal control problem for a class of continuous-time stochastic systems. By employing the technique of adaptive dynamic programming (ADP), we propose a novel model-free policy iteration (PI) algorithm. Without needing all information of the system coefficient matrices, the proposed PI algorithm iterates by using the data of the input and system state collected on a fixed time interval. Finally, a numerical example is presented to demonstrate the feasibility of the obtained algorithm.