文章基本信息

标题：Linear Quadratic Gaussian Control for Discrete-time Systems with Delay and Multiplicative Noise
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作者：Xiao Liang ; Juanjuan Xu ; Huanshui Zhang 等
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2017
卷号：50
期号：1
页码：3847-3852
DOI：10.1016/j.ifacol.2017.08.354
语种：English
出版社：Elsevier
摘要：AbstractThis paper considers the linear quadratic Gaussian (LQG) control problem for discrete-time systems subject to multiplicative noises and input delay. When the state variables can be obtained exactly, the necessary and sufficient condition for the existence of a unique solution to the LQG control has been presented and an explicit analytical expression is given for the optimal LQG controller. More specially, the optimal LQG controller is derived which consists of the feedback form of the conditional expectation of the state and one additive deterministic term based on the coupled Riccati equations. Through the completing square approach, the optimal controller is obtained based on the solution to the forward and backward stochastic difference equations (FBSDEs).
关键词：KeywordsLQG controlFBSDEsdiscrete-time systemmultiplicative noiseinput delay