Linear quadratic regulation for discrete-time systems with input delay and colored multiplicative noise

被引：6
|
作者：
Li, Hongdan [1 ]
Xu, Juanjuan [1 ]
Zhang, Huanshui [1 ]
机构：
[1] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Shandong, Peoples R China
来源：
SYSTEMS & CONTROL LETTERS | 2020年 / 143卷 / 143期
基金：
中国国家自然科学基金;
关键词：
Colored multiplicative noise; Input delay; FBSDEs; Linear quadratic regulation; NETWORKED CONTROL-SYSTEMS; STOCHASTIC-SYSTEMS; VARYING SYSTEMS; STATE;
D O I：
10.1016/j.sysconle.2020.104740
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper is concerned with the linear quadratic regulation (LQR) problem for discrete-time systems involving input delay and colored multiplicative noise. Due to the correlation of the adjoining state, this problem will be more complicated than the case of white noise. In this paper, the necessary and sufficient condition for the solvability of optimal control problem is presented by solving the forward and backward stochastic difference equations (FBSDEs). Moreover, the optimal LQR controller is given in terms of the coupled difference equations developed in this paper. (C) 2020 Elsevier B.V. All rights reserved.
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页数：6
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