Linear Quadratic Optimal Control for Continuous-time Stochastic Systems with Single Input-delay
The paper considers the linear quadratic(LQ) control problem for the It 坥-type stochastic system with input delays. Due to simultaneous appearances of diffusion terms (dependent on the system state and control input) as well as delays in the dynamic system, the problem is very involved and outstanding at present. Our main idea is to pursue the explicit optimal cost of the problem and to exploit the interplay between the original problem and its equivalent description. Therefore, we not only provide a causal and adapted controller based on generalized Riccati equations with the same dimension as the system (without delays) but also present the sufficient and necessary condition under which the optimal control problem for the stochastic system is solvable.
stochastic system Linear quadratic control input delay Riccati equation
Hongxia Wang Huanshui Zhang Xuan Wang
Shenzhen Graduate School of HIT, Shenzhen University Town, Xili, Shenzhen, 518055, P. R. china School of Control Science and Engineering, Shandong University, Jingshi Road 17923, Jinan, 250061, P
国际会议
The 24th Chinese Control and Decision Conference (第24届中国控制与决策学术年会 2012 CCDC)
太原
英文
2833-2840
2012-05-23（万方平台首次上网日期，不代表论文的发表时间）