Linear quadratic regulation for discrete-time systems with multiplicative noise and multiple input delays

Title: Linear quadratic regulation for discrete-time systems with multiplicative noise and multiple input delays
Creator: Li, L.; Zhang, H.; Fu, M.
Relation: Optimal Control Applications and Methods Vol. 38, Issue 3, p. 295-316
Publisher Link: http://dx.doi.org/10.1002/oca.2257
Publisher: John Wiley & Sons
Resource Type: journal article
Date: 2017
Description: This paper is concerned with the optimal linear quadratic regulation problem for discrete‐time systems with state and control dependent noises and multiple delays in the input. We show that the problem admits a unique solution if and only if a sequence of matrices, which are determined by coupled difference equations developed in this paper, are positive definite. Under this condition, the optimal feedback controller and the optimal cost are presented via some coupled difference equations. Our approach is based on the stochastic maximum principle. The key technique is to establish relations between the costate and the state.
Subject: multiplicative noise; time‐delay system; linear quadratic regulation
Identifier: http://hdl.handle.net/1959.13/1387942
Identifier: uon:32693
Identifier: ISSN:0143-2087
Language: eng
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