Q-Learning for Linear Quadratic Optimal Control with Terminal State Constraint

Abstract: This paper is concerned with the linear quadratic optimal control of discrete-time time-varying system with terminal state constraint. The main contribution is to propose a Q-learning algorithm for the optimal controller when the time-varying system matrices and input matrices are both unknown. Different from the existing Q-learning algorithms in the literature which are mainly for the unconstrained optimal control problem, the novelty of the proposed algorithm is available to deal with the case with terminal state constraints. A numerical example is illustrated to verify the effectiveness of the proposed algorithm.