Model-free Value Iteration Algorithm for Continuous-time Stochastic Linear Quadratic Optimal Control Problems

Guangchen Wang; Heng Zhang

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arXiv · 2203.06547

Model-free Value Iteration Algorithm for Continuous-time Stochastic Linear Quadratic Optimal Control Problems

Guangchen Wang·Heng Zhang

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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.

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BibTeX RIS

Guangchen Wang, Heng Zhang. 2022-03-13. Model-free Value Iteration Algorithm for Continuous-time Stochastic Linear Quadratic Optimal Control Problems. https://arxiv.org/abs/2203.06547

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