Please use this identifier to cite or link to this item:
PIRA download icon_1.1View/Download Full Text
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
Appears in Collections:Conference Paper

Files in This Item:
File Description SizeFormat 
Yiu_Stochastic_Lq_Problem.pdfPre-Published version803.77 kBAdobe PDFView/Open
Open Access Information
Status open access
File Version Final Accepted Manuscript
View full-text via PolyU eLinks SFX Query
Show full item record

Page views

Citations as of Sep 24, 2023


Citations as of Sep 24, 2023

Google ScholarTM



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.