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Title: Stochastic LQ problem with delayed control
Authors: Ni, YH
Yiu, CKF 
Zhang, H
Zhang, JF
Keywords: Convexity
Forward-backward stochastic difference equation
Indefinite stochastic linear-quadratic optimal control
Input delay
Issue Date: 2017
Publisher: Institute of Electrical and Electronics Engineers
Source: 36th Chinese Control Conference, CCC 2017, Dalian, China, 26 - 28 July 2017, 8027631, p. 1902-1906 How to cite?
Abstract: A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the cost weighting matrices. Necessary and sufficient conditions are derived for the case with a fixed time-state initial pair. A set of coupled discrete-time Riccati-like equations can be derived to characterize the existence and the form of the delayed optimal control. Furthermore, the convexity of the cost functional is fully characterized via certain properties of the solution of the Riccati-like equations.
ISBN: 9789881563934
ISSN: 1934-1768
DOI: 10.23919/ChiCC.2017.8027631
Appears in Collections:Conference Paper

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