LINEAR QUADRATIC CONTROL PROBLEM OF STOCHASTIC SWITCHING SYSTEMS WITH DELAY

Stochastic linear quadratic control problem of switching systems with constraints

Linear Quadratic Optimal Control Problem of Stochastic Switching Systems

Switched systems have numerous applications in control of real systems as mechanical systems, automotive industry, aircraft and air traffic control, switching power converters, and many other fields. Optimal control problems of switching systems require the decision of both the optimal solutions and switching sequences. The stochastic optimal control problem of linear switching systems with qua...

Stochastic singular optimal control problem of switching systems with constraints

*Correspondence: [email protected] Department of Industrial Engineering, Anadolu University, Eskisehir, Turkey Institute of Control Systems, ANAS, Baku, Azerbaijan Abstract This paper is devoted to the optimal control problem of switching system in which constraints on the state variable are given by inclusions. Using Ekeland’s variational principle, second-order necessary condition of ...

Delayed Stochastic Linear-Quadratic Control Problem and Related Applications

We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables. This problem will lead to a kind of generalized forward-backward stochastic differential equations FBSDEs with Itô’s stochastic delay equations as forward equations and anticipated backward stochastic differential equations as backward equations. Especially, we p...

Delay Independent Stability of Linear Switching Systems with Time Delay

We consider a switching system with time delay composed of a finite number of linear delay differential equations (DDEs). Each DDE consists of a sum of a linear ODE part and a linear DDE part. We study two particular cases: (a) all the ODE parts are stable and (b) all the ODE parts are unstable and determine conditions for delay independent stability. For case (a), we extend a standard result o...