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Linear quadratic regulation for discrete-time systems with state delays and multiplicative noise
L.Li,H.Zhang
0
(School of Control Science and Engineering, Shandong University)
摘要:
In this paper, the linear quadratic regulation problem for discrete-time systems with state delays and multiplicative noise is considered. The necessary and sufficient condition for the problem admitting a unique solution is given. Under this condition, the optimal feedback control and the optimal cost are presented via a set of coupled difference equations. Our approach is based on the maximum principle. The key technique is to establish relations between the costate and the state.
关键词:  Optimal control, time-delay system, multiplicative noise
DOI:
Received:May 23, 2013Revised:November 29, 2013
基金项目:
Linear quadratic regulation for discrete-timesystems with state delays andmultiplicative noise
L. Li,H. Zhang
(School of Control Science and Engineering, Shandong University)
Abstract:
In this paper, the linear quadratic regulation problem for discrete-time systems with state delays and multiplicative noise is considered. The necessary and sufficient condition for the problem admitting a unique solution is given. Under this condition, the optimal feedback control and the optimal cost are presented via a set of coupled difference equations. Our approach is based on the maximum principle. The key technique is to establish relations between the costate and the state.
Key words:  Optimal control, time-delay system, multiplicative noise