scholarly journals Linear Quadratic Stochastic Optimal Control of Forward Backward Stochastic Control System Associated with Lévy Process

2017 ◽  
Vol 2017 ◽  
pp. 1-11
Author(s):  
Hong Huang ◽  
Xiangrong Wang ◽  
Ting Hou ◽  
Lu Xu

This paper analyzes one kind of linear quadratic (LQ) stochastic control problem of forward backward stochastic control system associated with Lévy process. We obtain the explicit form of the optimal control, then prove it to be unique, and get the linear feedback regulator by introducing one kind of generalized Riccati equation. Finally, we discuss the solvability of the generalized Riccati equation, and its existence and uniqueness of the solutions are proved in a special case.

2020 ◽  
Vol 2020 ◽  
pp. 1-11
Author(s):  
Hong Huang ◽  
Xiangrong Wang ◽  
Ying Li

This paper analyzes one kind of optimal control problem which is described by forward-backward stochastic differential equations with Lévy process (FBSDEL). We derive a necessary condition for the existence of the optimal control by means of spike variational technique, while the control domain is not necessarily convex. Simultaneously, we also get the maximum principle for this control system when there are some initial and terminal state constraints. Finally, a financial example is discussed to illustrate the application of our result.


2015 ◽  
Vol 2015 ◽  
pp. 1-12 ◽  
Author(s):  
Xiangrong Wang ◽  
Hong Huang

We study a stochastic optimal control problem where the controlled system is described by a forward-backward stochastic differential equation driven by Lévy process. In order to get our main result of this paper, the maximum principle, we prove the continuity result depending on parameters about fully coupled forward-backward stochastic differential equations driven by Lévy process. Under some additional convexity conditions, the maximum principle is also proved to be sufficient. Finally, the result is applied to the linear quadratic problem.


2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
Yan Chen ◽  
Jie Xu

In this paper, the delayed doubly stochastic linear quadratic optimal control problem is discussed. It deduces the expression of the optimal control for the general delayed doubly stochastic control system which contained time delay both in the state variable and in the control variable at the same time and proves its uniqueness by using the classical parallelogram rule. The paper is concerned with the generalized matrix value Riccati equation for a special delayed doubly stochastic linear quadratic control system and aims to give the expression of optimal control and value function by the solution of the Riccati equation.


Author(s):  
Oleksandr V. Stepanets ◽  
Yurii I. Mariiash

Background. Model predictive control (MPC) approach is the basic feedback scheme, combined with high adaptive properties, which determines its successful use in the practice of design and operation of control systems. These advantages allow managing multidimensional objects with a complex structure, including nonlinearity, optimizing processes in real time within the constraints on controlled and managed variables, taking into account uncertainties in the task of objects and perturbations. Objective. The purpose of the paper is to design and analyse control system of carbon monoxide oxidation in the convector cavity based on MPC with linear-quadratic cost functional with constraint. Methods. The design of MPC is based on mathematical model of an object (relatively simple). At the current step, the prediction of object dynamic response on some final period of time (prediction horizon) is carried out; control optimization is performed, the purpose of which is to approximate the control variables of the prediction model to the corresponding setpoint on the predict horizon. The found optimal control is applied and measurement of an actual state of object at the end of a step is carried out. The prediction horizon is shifted one step further, and this algorithm are repeated. Results. The results of modeling the automatic control system show that the MPC approach provides maintenance of carbon dioxide content when changing oxygen consumption and overshoot caused by introduction bulk does not exceed 0.6 % that meets the technological requirements of the process. Conclusions. A fuse of the MPC and the quadratic functional given the constraints on the input signals is proposed. The problems of control degree of carbon oxidation in the convector cavity include non-stationarity, so the use of classical control methods is difficult. The MPC approach minimizes the cost function that characterizes the quality of the process. The predicted behaviour of a dynamic system will usually differ from its actual motion. The obtained quadratic functional is optimized to find the optimal control of degree of CO oxidation to CO2.


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