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August  2013, 18(6): 1651-1661. doi: 10.3934/dcdsb.2013.18.1651

Quadratic control problem of neutral Ornstein-Uhlenbeck processes with control delays

1. 

Division of Statistics and Probability, Department of Mathematical Sciences, The University of Liverpool, Peach Street, Liverpool, L69 7ZL, United Kingdom

Received  September 2011 Revised  January 2012 Published  March 2013

A class of stochastic optimal control problems of infinite dimensional Ornstein-Uhlenbeck processes of neutral type are considered. One special feature of the system under investigation is that time delays are present in the control. An equivalent formulation between an adjoint stochastic controlled delay differential equation and its lifted control system (without delays) is developed. As a consequence, the finite time quadratic regulator problem governed by this formulation is solved based on a direct solution of some associated Riccati equation.
Citation: Kai Liu. Quadratic control problem of neutral Ornstein-Uhlenbeck processes with control delays. Discrete & Continuous Dynamical Systems - B, 2013, 18 (6) : 1651-1661. doi: 10.3934/dcdsb.2013.18.1651
References:
[1]

A. Bensoussan, G. Da Prato, M. Delfour and S. Mitter, "Representation and Control of Infinite Dimensional Systems,", Second Edition, (2007). Google Scholar

[2]

R. F. Curtain and H. J. Zwart., "An Introduction to Infinite Dimensional Linear Systems Theory,", Texts in Applied Math., 21 (1995). doi: 10.1007/978-1-4612-4224-6. Google Scholar

[3]

G. Da Prato and J. Zabczyk, "Second Order Partial Differential Equations in Hilbert Spaces,", London Math. Soc. LNS, 293 (2002). doi: 10.1017/CBO9780511543210. Google Scholar

[4]

J. P. Dauer and N. I. Mahmudov, Controllability of stochastic semilinear functional differential equations in Hilbert spaces,, J. Math. Anal. Appl., 290 (2004), 373. doi: 10.1016/j.jmaa.2003.09.069. Google Scholar

[5]

F. Flandoli, Solution and control of a bilinear stochastic delay equation,, SIAM J. Control Optim., 28 (1990), 936. doi: 10.1137/0328052. Google Scholar

[6]

M. Fuhrman and G. Tessitore, Nonolinear Kolmogorov equations in infinite dimensional spaces: The backward stochastic differential equations approach and applications to optimal control,, Ann. Probab., 30 (2002), 1397. doi: 10.1214/aop/1029867132. Google Scholar

[7]

F. Gozzi and C. Marinelli, Stochastic optimal control of delay equations arising in advertising models,, in, 245 (2006), 133. doi: 10.1201/9781420028720.ch13. Google Scholar

[8]

F. Gozzi, C. Marinelli and S. Savin, On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects,, J. Optim. Theory Appl., 142 (2009), 291. doi: 10.1007/s10957-009-9524-5. Google Scholar

[9]

J. Hale and S. Verduyn Lunel, "Introduction to Functional Differential Equations,", Applied Math. Sci., 99 (1993). Google Scholar

[10]

A. Ichikawa, Dynamic programming approach to stochastic evolution equations,, SIAM J. Control Optim., 17 (1979), 152. doi: 10.1137/0317012. Google Scholar

[11]

X. J. Li and J. M. Yong, "Optimal Control Theory for Infinite-Dimensional Systems,", Systems & Control: Foundations & Applications, (1995). doi: 10.1007/978-1-4612-4260-4. Google Scholar

[12]

K. Liu, The fundamental solution and its role in the optimal control of infinite dimensional neutral systems,, Applied Math. Optim., 60 (2009), 1. doi: 10.1007/s00245-009-9065-1. Google Scholar

[13]

K. Liu, Finite pole assignment of linear neutral systems in infinite dimensions,, in, (2009), 1. Google Scholar

[14]

N. I. Mahmudov, Approximate controllability of semilinear deterministic and stochastic evolution equations in abstract spaces,, SIAM J. Control Optim., 42 (2003), 1604. doi: 10.1137/S0363012901391688. Google Scholar

[15]

S. Nakagiri, Optimal control of linear retarded systems in Banach spaces,, J. Math. Anal. Appl., 120 (1986), 169. doi: 10.1016/0022-247X(86)90210-6. Google Scholar

[16]

D. Salamon, "Control and Observation of Neutral Systems,", Research Notes in Math., 91 (1984). Google Scholar

[17]

R. Vinter and R. Kwong, The infinite time quadratic control problem for linear system with state and control delays: An evolution equation approach,, SIAM J. Control Optim., 19 (1981), 139. doi: 10.1137/0319011. Google Scholar

[18]

K. Yosida, "Functional Analysis,", Sixth edition, 123 (1980). Google Scholar

[19]

J. Zabczyk, "Mathematical Control Theory: An Introduction,", Systems & Control: Foundations & Applications, (1992). Google Scholar

show all references

References:
[1]

A. Bensoussan, G. Da Prato, M. Delfour and S. Mitter, "Representation and Control of Infinite Dimensional Systems,", Second Edition, (2007). Google Scholar

[2]

R. F. Curtain and H. J. Zwart., "An Introduction to Infinite Dimensional Linear Systems Theory,", Texts in Applied Math., 21 (1995). doi: 10.1007/978-1-4612-4224-6. Google Scholar

[3]

G. Da Prato and J. Zabczyk, "Second Order Partial Differential Equations in Hilbert Spaces,", London Math. Soc. LNS, 293 (2002). doi: 10.1017/CBO9780511543210. Google Scholar

[4]

J. P. Dauer and N. I. Mahmudov, Controllability of stochastic semilinear functional differential equations in Hilbert spaces,, J. Math. Anal. Appl., 290 (2004), 373. doi: 10.1016/j.jmaa.2003.09.069. Google Scholar

[5]

F. Flandoli, Solution and control of a bilinear stochastic delay equation,, SIAM J. Control Optim., 28 (1990), 936. doi: 10.1137/0328052. Google Scholar

[6]

M. Fuhrman and G. Tessitore, Nonolinear Kolmogorov equations in infinite dimensional spaces: The backward stochastic differential equations approach and applications to optimal control,, Ann. Probab., 30 (2002), 1397. doi: 10.1214/aop/1029867132. Google Scholar

[7]

F. Gozzi and C. Marinelli, Stochastic optimal control of delay equations arising in advertising models,, in, 245 (2006), 133. doi: 10.1201/9781420028720.ch13. Google Scholar

[8]

F. Gozzi, C. Marinelli and S. Savin, On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects,, J. Optim. Theory Appl., 142 (2009), 291. doi: 10.1007/s10957-009-9524-5. Google Scholar

[9]

J. Hale and S. Verduyn Lunel, "Introduction to Functional Differential Equations,", Applied Math. Sci., 99 (1993). Google Scholar

[10]

A. Ichikawa, Dynamic programming approach to stochastic evolution equations,, SIAM J. Control Optim., 17 (1979), 152. doi: 10.1137/0317012. Google Scholar

[11]

X. J. Li and J. M. Yong, "Optimal Control Theory for Infinite-Dimensional Systems,", Systems & Control: Foundations & Applications, (1995). doi: 10.1007/978-1-4612-4260-4. Google Scholar

[12]

K. Liu, The fundamental solution and its role in the optimal control of infinite dimensional neutral systems,, Applied Math. Optim., 60 (2009), 1. doi: 10.1007/s00245-009-9065-1. Google Scholar

[13]

K. Liu, Finite pole assignment of linear neutral systems in infinite dimensions,, in, (2009), 1. Google Scholar

[14]

N. I. Mahmudov, Approximate controllability of semilinear deterministic and stochastic evolution equations in abstract spaces,, SIAM J. Control Optim., 42 (2003), 1604. doi: 10.1137/S0363012901391688. Google Scholar

[15]

S. Nakagiri, Optimal control of linear retarded systems in Banach spaces,, J. Math. Anal. Appl., 120 (1986), 169. doi: 10.1016/0022-247X(86)90210-6. Google Scholar

[16]

D. Salamon, "Control and Observation of Neutral Systems,", Research Notes in Math., 91 (1984). Google Scholar

[17]

R. Vinter and R. Kwong, The infinite time quadratic control problem for linear system with state and control delays: An evolution equation approach,, SIAM J. Control Optim., 19 (1981), 139. doi: 10.1137/0319011. Google Scholar

[18]

K. Yosida, "Functional Analysis,", Sixth edition, 123 (1980). Google Scholar

[19]

J. Zabczyk, "Mathematical Control Theory: An Introduction,", Systems & Control: Foundations & Applications, (1992). Google Scholar

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