DELAYED OPTIMAL CONTROL OF STOCHASTIC LQ PROBLEM
文献类型：期刊论文
| 作者 | Ni, Yuan-Hua1; Yiu, Ka-Fai Cedric2; Zhang, Huanshui3; Zhang, Ji-Feng4,5
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| 刊名 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
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| 出版日期 | 2017 |
| 卷号 | 55期号:5页码:3370-3407 |
| 关键词 | stochastic linear-quadratic optimal control transmission delay forward-backward stochastic difference equation convexity |
| ISSN号 | 0363-0129 |
| DOI | 10.1137/16M1100897 |
| 英文摘要 | A stochastic linear-quadratic (LQ) problem with multiplicative noises and transmission delay is studied in this paper; this LQ problem does not require any definiteness constraint on the cost weighting matrices. From some abstract representations of the system and cost functional, the solvability of this LQ problem is characterized by some conditions with operator form. Based on these, necessary and sufficient conditions are derived for the case with a fixed time-state initial pair and the general case with all the time-state initial pairs. For both cases, a set of coupled discrete time Riccati-like equations can be derived to characterize the existence and the form of the delayed optimal control. In particular, for the general case with all the initial pairs, the existence of delayed optimal control is equivalent to the solvability of the Riccati-like equations with some algebraic constraints, and both of them are also equivalent to the solvability of a set of coupled linear matrix equality-inequalities. Note that both the constrained Riccati-like equations and the linear matrix equality-inequalities are introduced for the first time in the literature for the proposed LQ problem. Furthermore, the convexity and the uniform convexity of the cost functional are fully characterized via certain properties of the solution of the Riccati-like equations. |
| 资助项目 | National Natural Science Foundation of China[11471242] ; National Natural Science Foundation of China[31400005141601] ; National Natural Science Foundation of China[61773222] ; National Key Basic Research Program (973 Program) of China[2014CB845301] ; PolyU Grant G-YBKM ; AMSS-PolyU Joint Research Institute |
| WOS研究方向 | Automation & Control Systems ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000416764700023 |
| 出版者 | SIAM PUBLICATIONS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/135]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Ni, Yuan-Hua |
| 作者单位 | 1.Nankai Univ, Coll Comp & Control Engn, Tianjin 300350, Peoples R China 2.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China 3.Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Shandong, Peoples R China 4.Chinese Acad Sci, Key Lab Syst & Control, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 5.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Ni, Yuan-Hua,Yiu, Ka-Fai Cedric,Zhang, Huanshui,et al. DELAYED OPTIMAL CONTROL OF STOCHASTIC LQ PROBLEM[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2017,55(5):3370-3407. |
| APA | Ni, Yuan-Hua,Yiu, Ka-Fai Cedric,Zhang, Huanshui,&Zhang, Ji-Feng.(2017).DELAYED OPTIMAL CONTROL OF STOCHASTIC LQ PROBLEM.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,55(5),3370-3407. |
| MLA | Ni, Yuan-Hua,et al."DELAYED OPTIMAL CONTROL OF STOCHASTIC LQ PROBLEM".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 55.5(2017):3370-3407. |
入库方式： OAI收割
来源：数学与系统科学研究院
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