| 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 |
