Title :
Solution to LQ control for Itô-type stochastic system with time delay
Author :
Xu Juanjuan ; Zhang Huanshui
Author_Institution :
Sch. of Control Sci. & Eng., Shandong Univ., Jinan, China
Abstract :
In this paper, we consider the linear quadratic (LQ) optimal control problem for Itô-type stochastic system with time delay. The maximum principle is obtained by applying the variational method to the cost functional when the admissible control set is convex. Based on the derived maximum principle, we give the explicit adapting and optimal controller. The main procedure is to establish the non-homogeneous relationship between the state and the adjoint state.
Keywords :
adaptive control; convex programming; delays; linear quadratic control; maximum principle; stochastic systems; variational techniques; Itô-type stochastic system; LQ control; convex admissible control set; cost functional; explicit adapting controller; linear quadratic optimal control problem; maximum principle; nonhomogeneous relationship; time delay; variational method; Cost function; Delay effects; Delays; Differential equations; Indium tin oxide; Optimal control; Stochastic systems; Itô System; Stochastic LQ Control; Time Delay;
Conference_Titel :
Control Conference (CCC), 2013 32nd Chinese
Conference_Location :
Xi´an
