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Marcus Thelander Andrén
optimal-trigger-bound
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edb25530
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edb25530
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7 years ago
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Marcus Thelander Andrén
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#
Project Description
#
Overview
This project contains supplemental Matlab code for the article:
>M. Thelander Andrén, B. Bernhardsson, A. Cervin and K. Soltesz,
>"On Event-Based Sampling for
H2
-Optimal Control", In Proc. 56th IEEE Conf.
>on Decision and Control,
Melbourne, Australia,
2017
>"On Event-Based Sampling for
LQG
-Optimal Control", In Proc. 56th IEEE Conf.
>on Decision and Control, 2017
It demonstrates a numerical method for computing the optimal event-based sampling
scheme for the continious-time LQG problem. The problem is related to an
elliptic
convection-diffusion type of partial-differential equation
(PDE) with free
boundary, a so called Stefan problem. The PDE is:
scheme for the continious-time LQG problem. The problem is related to an
elliptic,
convection-diffusion type of partial-differential equation
(PDE) with free
boundary, a so called Stefan problem. The PDE is:
'''math
x_H^
\i
ntercalQx_H
'''
```
math
\forall x_{\text{\tiny H}}\in \mathbb{R}^n: \begin{cases}
x_{\text{\tiny H}}^\intercal Qx_{\text{\tiny H}} - J + x_{\text{\tiny H}}^\intercal A^\intercal \nabla V + \frac{1}{2}\text{Tr}(R\nabla^2V) = 0, \\
V(x_{\text{\tiny H}})\leq \rho + V(0),
\end{cases}\quad\quad
\forall x_{\text{\tiny H}} \in \partial \Omega:
\begin{cases}
V(x_{\text{\tiny H}}) = \rho + V(0),\\
\nabla V = 0.
\end{cases}
```
The solution to this PDE is the value function $V$, and the free boundary
$
\p
artial
\O
mega$
\ No newline at end of file
The solution to this PDE is the value function $
`V`
$, and the free boundary
$
`\partial \Omega`
$ is the threshold on the state $
`x_{\text{\tiny H}}`
$ which
defines the optimal sampling scheme. For more details, we refer to the
[
article
](
cdc2017_paper.pdf
)
.
\ No newline at end of file
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