Solution to stochastic LQ control problem for Itô systems with state delay or input delay

2018 ◽  
Vol 113 ◽  
pp. 86-92 ◽  
Author(s):  
Xiao Liang ◽  
Juanjuan Xu ◽  
Huanshui Zhang
Keyword(s):  
Control Problem ◽  
Input Delay ◽  
State Delay ◽  
Lq Control ◽  
Stochastic Lq Control

scholarly journals An Optimal Portfolio Problem of DC Pension with Input-Delay and Jump-Diffusion Process

2020 ◽  
Vol 2020 ◽  
pp. 1-9
Author(s):  
Weixiang Xu ◽  
Jinggui Gao
Keyword(s):  
Diffusion Process ◽  
Control Problem ◽  
Jump Diffusion ◽  
Investment Strategy ◽  
Optimal Portfolio ◽  
Input Delay ◽  
Programming Approach ◽  
Time Interval ◽  
Stochastic Dynamic ◽  
Jump Diffusion Process

In this paper, an optimal portfolio control problem of DC pension is studied where the time interval between the implementation of investment behavior and its effectiveness (hereafter input-delay) is particularly focused. There are two assets available for investment: a risk-free cash bond and a risky stock with a jump-diffusion process. And the wealth process of the pension fund is modeled as a stochastic delay differential equation. To secure a comfortable retirement life for pension members and also avoid excessive risk, the fund managers in this paper aim to minimize the expected value of quadratic deviations between the actual terminal fund scale and a preset terminal target. By applying the stochastic dynamic programming approach and the match method, the optimal portfolio control problem is solved and the closed-form solution is obtained. In addition, an algorithm is developed to calculate the numerical solution of the optimal strategy. Finally, we have performed a sensitivity analysis to explore how the managers’ preset terminal target, the length of input-delay, and the jump intensity of risky assets affect the optimal investment strategy.

Unfragile Passive Control of Uncertain Sampling System

2013 ◽  
Vol 325-326 ◽  
pp. 1170-1175
Author(s):  
Qing Zhi Liu
Keyword(s):  
Control Problem ◽  
Robust Stability ◽  
Passive Control ◽  
Lyapunov Method ◽  
Linear Matrix ◽  
Sufficient Condition ◽  
Matrix Inequality ◽  
Sampling System ◽  
State Delay ◽  
Index Terms

The unfragile passive control problem of a class of uncertain state-delay sampling system is discussed. Applying Lyapunov method, and combining the properties of matrix inequality, the sufficient condition of robust stability is given, and the unfragile passive controller is designed. Finally a numerical example illustrates the effectiveness and the availability for the design.Index Terms - Uncertain State-delay Sampling System , Linear Matrix Inequility , Unfragile Passive Control .

Unfragile Control of Uncertain State-Delay Sampled-Data System

2012 ◽  
Vol 433-440 ◽  
pp. 7499-7504
Author(s):  
Xue Liang Wang
Keyword(s):  
Control Problem ◽  
Robust Stability ◽  
Lyapunov Method ◽  
Data System ◽  
Sufficient Condition ◽  
Matrix Inequality ◽  
Sampled Data ◽  
State Delay ◽  
Numerical Example

The unfragile control problem of a class of uncertain state-delay sampled system is discussed. Applying Lyapunov method, and combining the properties of matrix inequality, the sufficient condition of robust stability is given, and the unfragile controller is designed. Finally a numerical example illustrates the effectiveness and the availability for the design.

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