Linear quadratic regulation for discrete-time systems with state delays and multiplicative noise

被引：4

作者：

Li L. ^{[1
]}

Zhang H. ^{[1
]}

机构：

[1] School of Control Science and Engineering, Shandong University, Jinan Shandong

来源：

Control Theory and Technology | 2015年 / 13卷 / 04期

基金：

中国国家自然科学基金;

关键词：

multiplicative noise; Optimal control; time-delay system;

D O I：

10.1007/s11768-015-5036-z

中图分类号：

学科分类号：

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. © 2015, South China University of Technology, Academy of Mathematics and Systems Science, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg.

引用

页码：348 / 359

页数：11

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