| 题名 | A linear–quadratic optimal control problem of stochastic differential equations with delay and partial information |
| 作者 | |
| 通讯作者 | Zhang，Shuaiqi |
| 发表日期 | 2021-11-01
|
| DOI | |
| 发表期刊 | |
| ISSN | 0167-6911
|
| EISSN | 1872-7956
|
| 卷号 | 157 |
| 摘要 | This paper deals with a linear quadratic partially observed optimal control problem for the state governed by stochastic differential equations with delay. By backward separation method, variational method and filtering technique, a stochastic maximum principle for the optimal control is developed and its feedback representation is obtained. Also, a sufficient condition without the assumption of concavity is presented. At last, two examples are solved explicitly. |
| 关键词 | |
| 相关链接 | [Scopus记录] |
| 收录类别 | |
| 语种 | 英语
|
| 学校署名 | 其他
|
| 资助项目 | Fundamental Research Funds for the Central Universities, China[2020ZDPYMS01]
; Nature Science Foundation of China[11501129,12171086]
; Youth Foundation of Hebei Education Department, China[QN2020273]
; Southern University of Science and Technology, China Start up fund[Y01286120]
; National Natural Science Foundation of China[61873325,11831010]
; National Key R&D Program of China[2018YFB1305400]
; National Natural Science Foundations of China[11831010,11971266,11571205]
; Shandong Provincial Natural Science Foundations, China[
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| WOS研究方向 | Automation & Control Systems
; Operations Research & Management Science
|
| WOS类目 | Automation & Control Systems
; Operations Research & Management Science
|
| WOS记录号 | WOS:000739164500003
|
| 出版者 | |
| EI入藏号 | 20214411091976
|
| EI主题词 | Maximum principle
; Optimal control systems
; Quadratic programming
; Stochastic control systems
|
| EI分类号 | Control Systems:731.1
; Systems Science:961
|
| ESI学科分类 | ENGINEERING
|
| Scopus记录号 | 2-s2.0-85117904310
|
| 来源库 | Scopus
|
| 引用统计 |
被引频次[WOS]：10
|
| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/254835 |
| 专题 | 理学院_数学系 |
| 作者单位 | 1.School of Mathematics,China University of Mining and Technology,Xuzhou,221116,China 2.Department of Mathematics,Southern University of Science and Technology,Shenzhen,518055,China 3.School of Mathematics,Shandong University,Jinan,250100,China |
| 推荐引用方式 GB/T 7714 |
Zhang，Shuaiqi,Xiong，Jie,Shi，Jingtao. A linear–quadratic optimal control problem of stochastic differential equations with delay and partial information[J]. SYSTEMS & CONTROL LETTERS,2021,157.
|
| APA |
Zhang，Shuaiqi,Xiong，Jie,&Shi，Jingtao.(2021).A linear–quadratic optimal control problem of stochastic differential equations with delay and partial information.SYSTEMS & CONTROL LETTERS,157.
|
| MLA |
Zhang，Shuaiqi,et al."A linear–quadratic optimal control problem of stochastic differential equations with delay and partial information".SYSTEMS & CONTROL LETTERS 157(2021).
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| 条目包含的文件 | ||||||
| 文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | 操作 | |
| Elsevier Enhanced Re（3311KB） | -- | -- | 限制开放 | -- | ||
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