A general stochastic maximum principle for optimal control problems
SIAM Journal on Control and Optimization
Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
SIAM Journal on Control and Optimization
Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
SIAM Journal on Control and Optimization
Brief paper: Sliding mode control for Itô stochastic systems with Markovian switching
Automatica (Journal of IFAC)
Linear quadratic regulation for linear time-varying systems with multiple input delays
Automatica (Journal of IFAC)
Automatica (Journal of IFAC)
Brief paper: Maximum principle for the stochastic optimal control problem with delay and application
Automatica (Journal of IFAC)
Technical communique: A new result on stability analysis for stochastic neutral systems
Automatica (Journal of IFAC)
Congestion control as a stochastic control problem with action delays
Automatica (Journal of IFAC)
Robust integral sliding mode control for uncertain stochastic systems with time-varying delay
Automatica (Journal of IFAC)
On stabilizability and exact observability of stochastic systems with their applications
Automatica (Journal of IFAC)
| Hi-index | 22.14 |
This paper considers the linear quadratic (LQ) control problem for the Ito-type stochastic system with input delays. Due to simultaneous appearances of diffusion terms (dependent on the state and the control) as well as delays in the dynamic system, the problem is very involved and remains to be solved. We not only provide the solvable condition of the problem but also the explicit expression of the causal and adapted controller for a kind of LQ problems. All of these are based on a stochastic Riccati equation. The key technique is to pursue the explicit cost value of the LQ problem by FBSDE and derive the analytical controller via the interplay between the original problem and its equivalent abstract description.