The piecewise parametric optimal control of uncertain linear quadratic models |
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| Authors: | Bo Li Yuanguo Zhu |
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| Affiliation: | 1. School of Applied Mathematics, Nanjing University of Finance and Economics, Nanjing, People's Republic of China;2. School of Science, Nanjing University of Science and Technology, Nanjing, People's Republic of China |
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| 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. |
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| Keywords: | Optimal control uncertain linear quadratic model parametric optimisation piecewise control parameter |
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