Model-free Value Iteration Algorithm for Continuous-time Stochastic Linear Quadratic Optimal Control Problems
Optimization and Control
2022-03-15 v1
Abstract
This paper presents a novel value iteration (VI) algorithm for finding the optimal control for a kind of infinite-horizon stochastic linear quadratic (SLQ) problem with unknown systems. First, an off-line algorithm is estabilished to obtain the optimal feedback control of our problem. Then, based on the off-line algorithm, the VI-based model-free algorithm and its convergence proof is provided. The main feature of the model-free algorithm is that a stabilizing control is not needed to initiate the algorithm. Finally, we validate our results with a simulation example.
Cite
@article{arxiv.2203.06547,
title = {Model-free Value Iteration Algorithm for Continuous-time Stochastic Linear Quadratic Optimal Control Problems},
author = {Guangchen Wang and Heng Zhang},
journal= {arXiv preprint arXiv:2203.06547},
year = {2022}
}