Singular Linear Quadratic Optimal Control Problem for Stochastic Nonregular Descriptor Systems
Singular Linear Quadratic Optimal Control Problem for Stochastic Nonregular Descriptor Systems
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DOI：
10.1002/asjc.1660
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发表时间：
2018-09
影响因子：
2.4
通讯作者：
Xin Wang;Bin Liu-
中科院分区：
文献类型：
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作者：
Xin Wang;Bin Liu-
研究了随机非正则广义时滞系统的奇异线性二次（SLQ）最优控制问题。通过合理的假设和一系列的等价变换，最终将问题转化为标准随机系统的正线性二次（LQ）问题。然后利用动态规划原理证明了原问题的可解性，并以矩阵迭代形式给出了最优控制器的显式表达式。推广和改进了Feng等人的结果。作为一个应用，一个数值例子来证明所提出的方法的有效性。
This paper is concerned with the singular linear quadratic (SLQ) optimal control problem for stochastic nonregular descriptor systems with time‐delay. By means of some reasonable assumptions and a series of equivalent transformations, the problem is finally transformed into a positive linear quadratic (LQ) problem for standard stochastic systems. Then dynamic programming principle is used to establish the solvability of the original problem, and the desired explicit presentation of the optimal controller is given in terms of matrix iterative form. The results due to Feng et al. are generalized and improved. As an application, a numerical example is presented to demonstrate the efficiency of the proposed approach.