Optimal Control Problem for Discrete-Time Systems with Colored Multiplicative Noise

2019/07/29 by Hongdan Li, Li, Hongdan, Juanjuan Xu +3
Economics, Econometrics and Finance · Engineering · #93E20 #Control Systems and Identification #FOS: Mathematics #Optimization and Control (math.OC) #Stability and Control of Uncertain Systems #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1907.12252

openalex publication_date 2019/07/29 · openalex created_date 2019/08/13 · openalex updated_date 2026/07/28

Abstract

The optimal control problem for discrete-time systems with colored multiplicative noise is discussed in this paper. The problem will be more difficult to deal with than the case of white noise due to the correlation of the adjoining state. By solving the forward and backward stochastic difference equations (FBSDEs), the necessary and sufficient conditions for the solvability of the optimal control problems in both delay-free and one-step input delay case are given.

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