南方科技大学知识苑(SUSTech KC): Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients

题名	Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients
作者	Li，Hongdan 1; Li，Xun 2; Fu，Minyue3 ; Zhang，Huanshui 1,4
通讯作者	Zhang，Huanshui
发表日期	2023-04-01
DOI	10.1016/j.automatica.2023.110852
发表期刊	AUTOMATICA 影响因子和分区
ISSN	0005-1098
EISSN	1873-2836
卷号	150
摘要	This paper studies a linear-quadratic optimal control problem for discrete-time systems with multiplicative noise and random coefficients. Motivated by fiscal policy planning problems, where deterministic policies are required, this paper aims to find a deterministic optimal controller. The challenge is to seek a solution to forward and backward stochastic difference equations with structural inconsistency caused by random and deterministic terms. We derive necessary and sufficient conditions to solve this optimal control problem by employing a decoupling method. We also present an explicit expression of the optimal controller based on coupled stochastic Riccati-type difference equations.
关键词	Coupled Riccati-type difference equations Deterministic optimal Forward and backward stochastic difference equations Stochastic linear quadratic control
相关链接	[Scopus记录]
收录类别	SCI ; EI
语种	英语
学校署名	其他
资助项目	Foundation for Innovative Research Groups of National Natural Science Foundation of China[61821004] ; Major Basic Research of Natural Science Foundation of Shandong Province[ZR2021ZD14] ; Key Research and Develop-ment Program of Shandong Province, China[2020CXGC01208] ; Science and Technology Project of Qingdao West Coast New Area, China["2019-32","2020-20","2020-1-4"] ; High-level Talent Team Project of Qingdao West Coast New Area, China[RCTD-JC-2019-05] ; National Natural Science Foundation of China, China["ZR2021QF107","DP200103507"] ; Shandong Provincial Natural Science Foundation[15215319] ; Australian Research Council, Australia[15216720] ; Research Grants Council of Hong Kong[15221621]
WOS研究方向	Automation & Control Systems ; Engineering
WOS类目	Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号	WOS:000963392400001
出版者	PERGAMON-ELSEVIER SCIENCE LTD
EI入藏号	20230513456280
EI主题词	Controllers ; Digital control systems ; Discrete time control systems ; Linear control systems ; Optimal control systems ; Phase noise ; Quadratic programming ; Riccati equations ; Stochastic systems
EI分类号	Magnetism: Basic Concepts and Phenomena:701.2 ; Control Systems:731.1 ; Control Equipment:732.1 ; Calculus:921.2 ; Numerical Methods:921.6 ; Systems Science:961
ESI学科分类	ENGINEERING
Scopus记录号	2-s2.0-85146728162
来源库	Scopus
引用统计	被引频次[WOS]：2
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/442595
专题	工学院_机械与能源工程系
作者单位	1.College of Electrical Engineering and Automation,Shandong University of Science and Technology,Qingdao,266590,China 2.Department of Applied Mathematics,The Hong Kong Polytechnic University,Kowloon,Hong Kong 3.Department of Mechanical and Energy Engineering,Southern University of Science and Technology,ShenzhenGuangdong,China 4.Qingdao Borsen Intelligent Technology Co.,Ltd.,Qingdao,266590,China
推荐引用方式 GB/T 7714	Li，Hongdan,Li，Xun,Fu，Minyue,et al. Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients[J]. AUTOMATICA,2023,150.
APA	Li，Hongdan,Li，Xun,Fu，Minyue,&Zhang，Huanshui.(2023).Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients.AUTOMATICA,150.
MLA	Li，Hongdan,et al."Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients".AUTOMATICA 150(2023).