Linear Quadratic Optimal Control for Discrete-Time Stochastic Singular Systems with Multiplicative-noise and Input Delay

摘要：

　　This paper deals with discrete-time stochastic singular systems with multiplicative-noise and input delay.A finite-horizon linear quadratic (LQ) optimal control problem is investigated.The stochastic maximum principle is first established for singular systems in discrete case, and then a sufficient unique existing criterion for the optimal control is derived.The method to obtain the main results depends on the relationship between the optimal state and the auxiliary variable, which avoids using the augmented arguments.A numerical example is provided to demonstrate the effectiveness of theoretical results.

关键词： Stochastic singular systems LQ optimal control Multiplicative-noise Time delay

作者: Fan Wang Jinling Liang

作者单位: Department of Mathematics, Southeast University, Nanjing 210096

会议类型: 国内会议

会议名称: 西南大学2014年全国博士生学术论坛(电子技术与信息科学领域)

会议地点: 重庆

会议语种:英文

页码: 154-161

在线出版日期: 2014-12-01（万方平台首次上网日期，不代表论文的发表时间）