Restricted Optimal Control Problem for Stochastic Switching Linear Systems with Variable Delay

Abstract

An optimal control problem for stochastic switching systems with variable time delay on state and restriction at end point is investigated.  Stochastic linear quadratic regulator (SLQR) problem for system governed by a set of stochastic linear differential equations with variable delay is examined. Necessary and sufficient condition of optimality by means of maximum principle and the transversality conditions at switching points are obtained. A design method of stochastic feedback control is proposed.

Keywords

• Delayed Differential Equation,Restricted Optimization Problem,Stochastic Riccati Equations

Değişken Gecikmeli Stokastik Doğrusal Geçiş Sistemleri İçin Kısıtlı Optimal Kontrol Problemi

Abstract

Zamana göre değişken gecikmeli ve uç nokta kısıtlı stokastik geçiş sistemi için optimal kontrol problemi araştırılmıştır. Gecikmeli stokastik doğrusal diferansiyel denklemler dizisiyle ifade olunan sistem için doğrusal kuadratik regülatör (SDKR) problemi ele alınmıştır. Maksimum prensibine dayanarak optimallık için gerek ve yeter koşul, geçiş noktalarında karşıtlık koşulları elde edilmiştir. Optimal kontrol için geriye dönüş tasarım yöntemi önerilmiştir.

Keywords

• Gecikmeli Diferansiyel Denklem,Değişken Gecikme,Kısıtlı Optimizasyon Problemi

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