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The solution of the infinite horizon tracking problem for discrete time systems possessing an exogenous component
Ist Teil von
Journal of economic dynamics & control, 1990, Vol.14 (3), p.741-762
Ort / Verlag
Amsterdam: Elsevier B.V
Erscheinungsjahr
1990
Quelle
Elsevier Journal Backfiles on ScienceDirect (DFG Nationallizenzen)
Beschreibungen/Notizen
In this paper we derive an algorithm that yields, for a discrete-time system, a control minimizing a quadratic cost functional. The system considered is linear and possesses an exogenous component. The cost functional is a quadratic tracking equation over an infinite time horizon with positive semi-definite weighting matrices such that a weighted sum of these matrices is positive definite. The infinite planning horizon Minimum Variance cost criterion and the Linear Quadratic regulator are special cases. For stabilizable systems we give a characterization of the asymptotically admissible reference trajectories.