Linear quadratic optimal control of stochastic 2-D Roesser models

Xiaomin Xue, Juanjuan Xu and Huanshui Zhang

Mathematics and Computers in Simulation (MATCOM), 2025, vol. 227, issue C, 500-510

Abstract: This paper investigates the linear quadratic (LQ) optimal control problem for the stochastic two-dimensional (2-D) systems governed by Roesser models with multiplicative noise. The main contribution is to give the necessary and sufficient optimality condition by proposing a set of novel forward and backward stochastic partial difference equations (FBSPDE), and to further present the explicitly optimal feedback control laws on the finite horizon and on the infinite horizon based on the Riccati-like difference equations and the algebraic equation, respectively. Several numerical simulations are provided to illustrate the performance of the designed controllers.

Keywords: Linear quadratic optimal control; Stochastic 2-D Roesser models; Forward and backward stochastic partial difference equations (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:227:y:2025:i:c:p:500-510

DOI: 10.1016/j.matcom.2024.08.029

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