Linear Quadratic Optimal Control for Time-Delay Stochastic System with Partial Information

Wenjing Wang; Liang Xu; Juanjuan Xu; Xun Li; Huanshui Zhang

doi:10.1080/00207721.2023.2224801

Linear Quadratic Optimal Control for Time-Delay Stochastic System with Partial Information

Wenjing Wang, Liang Xu, Juanjuan Xu, Xun Li, Huanshui Zhang

Research output: Journal article publication › Journal article › Academic research › peer-review

1 Citation (Scopus)

Abstract

This paper is concerned with the linear quadratic optimal control problem for the time-delay stochastic system with partial information. The main contribution is to derive the equivalent solvability condition and give the explicitly optimal controller under partial information in terms of the Riccati equations. The key is to explicitly solve the forward and backward stochastic difference equations with partial information, which is derived from the stochastic maximum principle.

Original language	English
Pages (from-to)	2227-2238
Number of pages	12
Journal	International Journal of Systems Science
Volume	54
Issue number	10
DOIs	https://doi.org/10.1080/00207721.2023.2224801
Publication status	Published - Jul 2023

Keywords

linear quadratic control
partial information
Stochastic systems
time delay

ASJC Scopus subject areas

Control and Systems Engineering
Theoretical Computer Science
Computer Science Applications

More information

10.1080/00207721.2023.2224801

Cite this

@article{b7c4da5eb20e42d6aff32252f72b99e6,

title = "Linear Quadratic Optimal Control for Time-Delay Stochastic System with Partial Information",

abstract = "This paper is concerned with the linear quadratic optimal control problem for the time-delay stochastic system with partial information. The main contribution is to derive the equivalent solvability condition and give the explicitly optimal controller under partial information in terms of the Riccati equations. The key is to explicitly solve the forward and backward stochastic difference equations with partial information, which is derived from the stochastic maximum principle.",

keywords = "linear quadratic control, partial information, Stochastic systems, time delay",

author = "Wenjing Wang and Liang Xu and Juanjuan Xu and Xun Li and Huanshui Zhang",

note = "Publisher Copyright: {\textcopyright} 2023 Informa UK Limited, trading as Taylor & Francis Group.",

year = "2023",

month = jul,

doi = "10.1080/00207721.2023.2224801",

language = "English",

volume = "54",

pages = "2227--2238",

journal = "International Journal of Systems Science",

issn = "0020-7721",

publisher = "Taylor & Francis",

number = "10",

}

TY - JOUR

T1 - Linear Quadratic Optimal Control for Time-Delay Stochastic System with Partial Information

AU - Wang, Wenjing

AU - Xu, Liang

AU - Xu, Juanjuan

AU - Li, Xun

AU - Zhang, Huanshui

PY - 2023/7

Y1 - 2023/7

N2 - This paper is concerned with the linear quadratic optimal control problem for the time-delay stochastic system with partial information. The main contribution is to derive the equivalent solvability condition and give the explicitly optimal controller under partial information in terms of the Riccati equations. The key is to explicitly solve the forward and backward stochastic difference equations with partial information, which is derived from the stochastic maximum principle.

AB - This paper is concerned with the linear quadratic optimal control problem for the time-delay stochastic system with partial information. The main contribution is to derive the equivalent solvability condition and give the explicitly optimal controller under partial information in terms of the Riccati equations. The key is to explicitly solve the forward and backward stochastic difference equations with partial information, which is derived from the stochastic maximum principle.

KW - linear quadratic control

KW - partial information

KW - Stochastic systems

KW - time delay

UR - http://www.scopus.com/inward/record.url?scp=85162854149&partnerID=8YFLogxK

U2 - 10.1080/00207721.2023.2224801

DO - 10.1080/00207721.2023.2224801

M3 - Journal article

AN - SCOPUS:85162854149

SN - 0020-7721

VL - 54

SP - 2227

EP - 2238

JO - International Journal of Systems Science

JF - International Journal of Systems Science

IS - 10

ER -

Linear Quadratic Optimal Control for Time-Delay Stochastic System with Partial Information

Abstract

Keywords

ASJC Scopus subject areas

More information

Other files and links

Fingerprint

Cite this