Optimal LQG control for discrete time-varying system with multiplicative noise and multiple state delays
Xiao Lu
Qiyan Zhang
Xiao Liang
Haixia Wang
Chunyang Sheng
Zhiguo Zhang
Shandong University of Science and Technology,Qingdao,China
摘要：This paper is concerned with the optimal linear quadratic Gaussian (LQG) control problem for discrete time-varying system with multiplicative noise and multiple state delays. The main contributions are twofolds. First, in virtue of Pontryagin's maximum principle, we solve the forward and backward stochastic difference equations (FBSDEs) and show the relationship between the state and the costate. Second, based on the solution to the FBSDEs and the coupled difference Riccati equations, the necessary and sufficient condition for the optimal problem is obtained. Meanwhile, an explicit analytical expression is given for the optimal LQG controller. Numerical examples are shown to illustrate the effectiveness of the proposed algorithm.
机标关键词：
论文发表日期：2021-08-05
在线出版日期：2025-08-15（本平台首次上网日期，不代表文献的发表时间）
页数：11( 328-338 )
英文信息