A necessary and sufficient RHC stabilizability condition for stochastic control with delayed input

Rong Gao, Juanjuan Xu, Wuquan Li and Xiaohua Liu

Applied Mathematics and Computation, 2019, vol. 360, issue C, 122-130

Abstract: We study the mean-square stabilizability of Itô stochastic systems with delayed input. In contrast to most previous results, where only sufficient condition was derived, this paper proposes a necessary and sufficient stabilization condition by exploring the receding horizon control (RHC) and the coupled Riccati equations. It is shown that the system controlled by RHC is stabilizable if and only if the two coupled Lyapunov type inequalities are satisfied. The key is to design a novel cost function based on the optimal cost of finite horizon optimization problem.

Keywords: Itô systems; Delayed input; Receding horizon control; Stabilization; Lyapunov type inequality (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0096300319303741
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:360:y:2019:i:c:p:122-130

DOI: 10.1016/j.amc.2019.04.072

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().