Optimal Control Problem for Discrete-Time Systems with Colored Multiplicative Noise

被引：0
|
作者：
Li, Hongdan [1 ]
Xu, Juanjuan [1 ]
Zhang, Huanshui [1 ]
机构：
[1] Shandong Univ, Sch Control Sci & Engn, Jingshi Rd 73, Jinan 250061, Peoples R China
来源：
2019 IEEE 15TH INTERNATIONAL CONFERENCE ON CONTROL AND AUTOMATION (ICCA) | 2019年
基金：
中国国家自然科学基金;
关键词：
STOCHASTIC-SYSTEMS;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The optimal control problem for discrete-time systems with colored multiplicative noise is discussed in this paper. The problem will be more difficult to deal with than the case of white noise due to the correlation of the adjoining state. By solving the forward and backward stochastic difference equations (FBSDEs), the necessary and sufficient conditions for the solvability of the optimal control problems in both delayfree and one-step input delay case are given.
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页码：231 / 235
页数：5
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