Optimal control for discrete‐time singular stochastic systems with input delay |
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| Authors: | Fan Wang Jinling Liang Feng Wang |
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| Affiliation: | Department of Mathematics, Southeast University, Nanjing, China |
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| Abstract: | The finite‐horizon linear quadratic regulation problem is considered in this paper for the discrete‐time singular systems with multiplicative noises and time delay in the input. Firstly, the extremum principle is discussed, and a stationary condition is derived for the singular stochastic system. Then, based on the relationships established between the state and the costate variables, the stationary condition is also shown to be a sufficient criterion assuring the existence of the solution for the stochastic control problem. The optimal controller is designed as a linear function of the current state and the past inputs information, which can be recursively calculated by effective algorithms. With the designed optimal controllers, the explicit expression is also derived for the minimal value of the performance index. One numerical example is provided in the end of the paper to illustrate the effectiveness of the obtained results. Copyright © 2016 John Wiley & Sons, Ltd. |
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| Keywords: | singular systems stochastic control linear quadratic regulation (LQR) input delay |
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