首页|Optimal LQG control for discrete time-varying system with multiplicative noise and multiple state delays
Optimal LQG control for discrete time-varying system with multiplicative noise and multiple state delays
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NETL
NSTL
万方数据
维普
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.
LQG controlDiscrete time-varying systemMultiplicative noiseMultiple state delays
NETL
NSTL
万方数据
维普
