@inproceedings{d6c236446fee44379dfa20ba4899ee47,
title = "Stochastic LQ problem with delayed control",
abstract = "A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the cost weighting matrices. Necessary and sufficient conditions are derived for the case with a fixed time-state initial pair. A set of coupled discrete-time Riccati-like equations can be derived to characterize the existence and the form of the delayed optimal control. Furthermore, the convexity of the cost functional is fully characterized via certain properties of the solution of the Riccati-like equations.",
keywords = "convexity, forward-backward stochastic difference equation, Indefinite stochastic linear-quadratic optimal control, input delay",
author = "Ni, {Yuan Hua} and Yiu, {Cedric Ka Fai} and Huanshui Zhang and Zhang, {Ji Feng}",
year = "2017",
month = sep,
day = "11",
doi = "10.23919/ChiCC.2017.8027631",
language = "English",
series = "Chinese Control Conference, CCC",
publisher = "IEEE Computer Society",
pages = "1902--1906",
editor = "Tao Liu and Qianchuan Zhao",
booktitle = "Proceedings of the 36th Chinese Control Conference, CCC 2017",
address = "United States",
note = "36th Chinese Control Conference, CCC 2017 ; Conference date: 26-07-2017 Through 28-07-2017",
}