Linear quadratic optimal control for time-delay stochastic system with partial information

Wenjing Wang, Liang Xu, Juanjuan Xu, Xun Li and Huanshui Zhang

International Journal of Systems Science, 2023, vol. 54, issue 10, 2227-2238

Abstract: This paper is concerned with the linear quadratic optimal control problem for the time-delay stochastic system with partial information. The main contribution is to derive the equivalent solvability condition and give the explicitly optimal controller under partial information in terms of the Riccati equations. The key is to explicitly solve the forward and backward stochastic difference equations with partial information, which is derived from the stochastic maximum principle.

Date: 2023
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DOI: 10.1080/00207721.2023.2224801

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