Stochastic Linear Quadratic Control Problem on Time Scales | Zendy

Yingjun Zhu | Zendy; Guangyan Jia | Zendy

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Stochastic Linear Quadratic Control Problem on Time Scales

Author(s) -

Yingjun Zhu,

Guangyan Jia

Publication year - 2021

Publication title -

discrete dynamics in nature and society

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.264

H-Index - 39

eISSN - 1607-887X

pISSN - 1026-0226

DOI - 10.1155/2021/5743014

Subject(s) - uniqueness , riccati equation , discrete time and continuous time , mathematics , linear quadratic regulator , control (management) , stochastic control , quadratic equation , algebraic riccati equation , linear quadratic gaussian control , optimal control , state (computer science) , mathematical optimization , computer science , mathematical analysis , differential equation , statistics , algorithm , geometry , artificial intelligence

This paper addresses a version of the stochastic linear quadratic control problem on time scales S Δ LQ , which includes the discrete time and continuous time as special cases. Riccati equations on time scales are given, and the optimal control can be expressed as a linear state feedback. Furthermore, we present the uniqueness and existence of the solution to the Riccati equation on time scales. Furthermore, we give an example to illustrate the theoretical results.

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