Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients

Li，Hongdan1; Li，Xun2; Fu，Minyue3; Zhang，Huanshui1,4

2023-04-01

10.1016/j.automatica.2023.110852

AUTOMATICA   Impact Factor & Quartile

0005-1098

1873-2836

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.

Coupled Riccati-type difference equations Deterministic optimal Forward and backward stochastic difference equations Stochastic linear quadratic control

SCI

English

Others

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]

Automation & Control Systems ; Engineering

Automation & Control Systems ; Engineering, Electrical & Electronic

WOS:000963392400001

PERGAMON-ELSEVIER SCIENCE LTD

ENGINEERING

2-s2.0-85146728162

Scopus

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

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.

Li，Hongdan,Li，Xun,Fu，Minyue,&Zhang，Huanshui.(2023).Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients.AUTOMATICA,150.

Li，Hongdan,et al."Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients".AUTOMATICA 150(2023).