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

Year 2018, Volume: 6 Issue: 2, 565 - 569, 24.12.2018

Çerkez Ağayeva , Melis Alpaslan Tekin

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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