This paper is concerned with linear quadratic Gaussian (LQG) control problem for discrete-time systems with both multiplicative noises and input delay. The main contributions are two-fold. First, when the state variables can be obtained exactly, the optimal LQG controller is derived which consists of the feedback form of the conditional expectation of the state and one additive deterministic term based on the coupled Riccati equations. Through the completing square approach, the optimal controller is obtained based on the complete solution to the forward and backward stochastic difference equations. Second, when the state variables are partially observed, we derive a suboptimal linear state estimate feedback controller for LQG models involving multiplicative noises and input delay. Since the separation principle does not hold and the optimal estimator cannot be obtained, the suboptimal linear state estimate feedback controller is derived by linearizing the linear optimal estimator and using the obtained results of the optimal LQG control.


    Access

    Check access

    Check availability in my library

    Order at Subito €


    Export, share and cite



    Title :

    Discrete-Time LQG Control With Input Delay and Multiplicative Noise


    Contributors:
    Xiao Liang (author) / Juanjuan Xu (author) / Huanshui Zhang (author)


    Publication date :

    2017-12-01


    Size :

    347746 byte




    Type of media :

    Article (Journal)


    Type of material :

    Electronic Resource


    Language :

    English



    Reduced-Order Filter Design for Discrete-Time Systems Corrupted with Multiplicative Noise

    Stoica, Adrian-Mihail / Barbelian, Mihai / Pana, Valentin et al. | AIAA | 2010


    Reduced-Order Filter Design for Discrete-Time Systems Corrupted with Multiplicative Noise

    Stoica, A. / Barbelian, M. / Dragasanu, C. et al. | British Library Conference Proceedings | 2009


    Reduced-Order Filter Design for Discrete-Time Systems Corrupted with Multiplicative Noise

    Stoica, Adrian-Mihail / Barbelian, Mihai / Dragasanu, Claudiu et al. | AIAA | 2009