Stochastic maximum principle for control systems with time-varying delay

IF 2.1 3区计算机科学 Q3 AUTOMATION & CONTROL SYSTEMS

Systems & Control Letters Pub Date : 2024-07-13 DOI:10.1016/j.sysconle.2024.105864

Yuecai Han , Yuhang Li

引用次数: 0

Abstract

In this paper, we study the stochastic optimal control problem for control systems with time-varying delay. The corresponding state equation is a kind of stochastic differential delay equation. A kind of anticipated backward stochastic differential equations is introduced, and the existence and uniqueness of the solution are proved. Then we obtain the stochastic maximum principle for the control systems with time-varying delay. As an application, the linear quadratic control problem is investigated to illustrate the main results.

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具有时变延迟的控制系统的随机最大原则

本文研究了具有时变延迟的控制系统的随机最优控制问题。相应的状态方程是一种随机微分延迟方程。引入了一种预期后向随机微分方程，并证明了解的存在性和唯一性。然后，我们得到了时变延迟控制系统的随机最大原理。作为应用，研究了线性二次控制问题，以说明主要结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Systems & Control Letters 工程技术-运筹学与管理科学

CiteScore

4.60

自引率

3.80%

发文量

144

审稿时长

6 months

期刊介绍： Founded in 1981 by two of the pre-eminent control theorists, Roger Brockett and Jan Willems, Systems & Control Letters is one of the leading journals in the field of control theory. The aim of the journal is to allow dissemination of relatively concise but highly original contributions whose high initial quality enables a relatively rapid review process. All aspects of the fields of systems and control are covered, especially mathematically-oriented and theoretical papers that have a clear relevance to engineering, physical and biological sciences, and even economics. Application-oriented papers with sophisticated and rigorous mathematical elements are also welcome.