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http://hdl.handle.net/10397/98638
| Title: | Stochastic LQ problem with delayed control | Authors: | Ni, YH Yiu, CKF Zhang, H Zhang, JF |
Issue Date: | 2017 | Source: | In Proceedings of the 36th Chinese Control Conference, 26-28, July 2017, Dalian, China, p. 1902-1906. London, UK: IEEE, 2017 | 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. | Keywords: | Indefinite stochastic linear-quadratic optimal control Input delay Forward-backward stochastic difference equation,convexity |
Publisher: | Institute of Electrical and Electronics Engineers | ISBN: | 978-9-8815-6393-4 (Electronic ISBN) | DOI: | 10.23919/ChiCC.2017.8027631 | Description: | 36th Chinese Control Conference, July 26-28, 2017, Dalian, China | Rights: | © 2017 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. The following publication Y. -H. Ni, C. K. -F. Yiu, H. Zhang and J. -F. Zhang, "Stochastic LQ problem with delayed control," 2017 36th Chinese Control Conference (CCC), Dalian, China, 2017, pp. 1902-1906 is available at https://doi.org/10.23919/ChiCC.2017.8027631. |
| Appears in Collections: | Conference Paper |
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