State-feedback control of systems with multiplicative noise via linear matrix inequalities
Systems & Control Letters
Discrete-time Indefinite LQ Control with State and Control Dependent Noises
Journal of Global Optimization
Linear quadratic regulation for linear time-varying systems with multiple input delays
Automatica (Journal of IFAC)
Robust Kalman filters for linear time-varying systems withstochastic parametric uncertainties
IEEE Transactions on Signal Processing
Brief H∞ control and filtering of discrete-time stochastic systems with multiplicative noise
Automatica (Journal of IFAC)
Brief H∞ performance of preview control systems
Automatica (Journal of IFAC)
LQ control for Itô-type stochastic systems with input delays
Automatica (Journal of IFAC)
Hi-index | 22.15 |
This paper considers the stochastic LQR problem for systems with input delay and stochastic parameter uncertainties in the state and input matrices. The problem is known to be difficult due to the presence of interactions among the delayed input channels and the stochastic parameter uncertainties in the channels. The key to our approach is to convert the LQR control problem into an optimization one in a Hilbert space for an associated backward stochastic model and then obtain the optimal solution to the stochastic LQR problem by exploiting the dynamic programming approach. Our solution is given in terms of two generalized Riccati difference equations (RDEs) of the same dimension as that of the plant.