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  • https://doi.org/10.1002/rnc.5338Copy DOI Icon

State feedback control for stochastic regular linear quadratic tracking problem with input time delay

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Abstract

Abstract In this article, a linear quadratic tracking controller is designed for continuous‐time delay systems involving multiplicative noises. This problem is challenging since the separation principle is ineffective for Itô stochastic systems and it is not assumed that the control weighting matrix in the cost function is positive definite. In this work, both finite time horizon and infinite time horizon cases are considered. The optimal controller is designed such that quadratic cost function in terms of the tracking error of the states and the control input is minimized. It is noted that comparing with regular problem, that is, the weighting matrix of control input in cost function is positive semidefinite, there exists an extra term in the optimal controller which can be free to choose. The explicit analytical expressions for the optimal controller are provided through solving a couple of Riccati‐like equations. For the infinite horizon case, the stabilization problem for an Itô stochastic system containing the input time delay is also studied. The effectiveness of the obtained theoretical results is illustrated by a numerical example.

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