Stochastic control problems with delay

We consider optimal control problems for systems described by stochastic differential equations with delay. We state conditions for certain classes of such systems under which the stochastic control problems become finite-dimensional. These conditions are illustrated with three applications. First, we solve some linear quadratic problems with delay. Then we find the optimal consumption rate in a financial market with delay. Finally, we solve explicitly a deterministic fluid problem with delay which arises from admission control in ATM communication networks.     

Asymptotic integration of functional differential systems with oscillatory decreasing coefficients

We use the method of averaging and the extension of the Levinson fundamental theorem to study the problem of asymptotic integration of a class of linear functional differential systems that contain oscillatory decreasing coefficients. Moreover, we construct the asymptotics for solutions of the second order delay differential equation that is close, in some sense, to harmonic oscillator.     

A DELAY DIFFERENTIAL INEQUALITY

In this paper, we obtain a slight generalization of the celebrated Halanay delay differential inequality[1]. Using this inequality, Liapunov function and vector Liapunov function, we show that our result can be applied to the stability behavior of solutions of some delay differential systems. And also, we attempt to relax some restrictions of dv/dt, which is necessary under Liapunov function's method on the delay differential systems.     

Stability and chaos control of regularized Prabhakar fractional dynamical systems without and with delay

In this paper, we studied the stabilization of nonlinear regularized Prabhakar fractional dynamical systems without and with time delay. We establish a Lyapunov stabiliy theorem for these systems and study the asymptotic stability of these systems without design a positive definite function V (without considering the fractional derivative of function V is negative). We design a linear feedback controller to control and stabilize the nonautonomous and autonomous chaotic regularized Prabhakar fractional dynamical systems without and with time delay. By means of the Lyapunov stability, we obtain the control parameters for these type of systems. We further present a numerical method to solve and analyze regularized Prabhakar fractional systems. Furthermore, by employing numerical simulation, we reveal chaotic attractors and asymptotic stability behaviors for four systems to illustrate the presented theorem.     

Oscillation of delay differential equations on time scales

Consider the following equation: , where t is in a measure chain. We apply the theory of measure chains to investigate the oscillation and nonoscillation of the above equation on the basis of some well-known results. And in some sense, we show a method to unify the delay differential equation and delay difference equation.     

单支方法的收敛性

本文讨论用单支方法数值求解一类多刚性时滞微分代数方程的收敛性。我们获得了A－稳定的且p阶经典相容的单支方法（时滞部分用线性插值）的整体误差估计。     

Deterministic Time-inconsistent Optimal Control Problems - an Essentially Cooperative Approach

A general deterministic time-inconsistent optimal control problem is formulated for ordinary differential equations. To find a time-consistent equilibrium value function and the corresponding time-consistent equilibrium control, a non-cooperative N-person differential game (but essentially cooperative in some sense) is introduced. Under certain conditions, it is proved that the open-loop Nash equilibrium value function of the N -person differential game converges to a time-consistent equilibrium value function of the original problem, which is the value function of a time-consistent optimal control problem. Moreover, it is proved that any optimal control of the time-consistent limit problem is a time-consistent equilibrium control of the original problem.     

非线性退化时滞微分控制系统的函数能控性

本文讨论非线性退化时滞微分控制系统．首先就非线性退化时滞微分控制系统的一阶变分系统给出变易公式,然后就非线性退化时滞微分控制系统的一阶变分系统的函数能控性给出一些判据,最后给出关于非线性退化时滞微分控制系统的函数能控性的判据．     

Exponential stability of hybrid stochastic functional differential systems with delayed impulsive effects: average impulsive interval approach

In this paper, we aim to investigate the exponential stability of general hybrid stochastic functional differential systems with delayed impulses. By using the average impulsive interval and the Lyapunov function method, we derive some sufficient conditions for exponential stability, which are less conservative than those existing results based on the supremum or infimum of impulsive interval and more convenient to be applied than those Razumikhin‐type conditions in the literature. Meanwhile, we show that unstable hybrid stochastic delay differential systems, both linear and nonlinear, can be stabilized by suitably impulsive sequence. Finally, two examples are discussed to illustrate the effectiveness and advantages of the obtained results. Copyright © 2017 John Wiley & Sons, Ltd.     

Robust stabilization for uncertain switched impulsive control systems with state delay: An LMI approach

This paper deals with the problem of robust H_∞ state feedback stabilization for uncertain switched linear systems with state delay. The system under consideration involves time delay in the state, parameter uncertainties and nonlinear uncertainties. The parameter uncertainties are norm-bounded time-varying uncertainties which enter all the state matrices. The nonlinear uncertainties meet with the linear growth condition. In addition, the impulsive behavior is introduced into the given switched system, which results a novel class of hybrid and switched systems called switched impulsive control systems. Using the switched Lyapunov function approach, some sufficient conditions are developed to ensure the globally robust asymptotic stability and robust H_∞ disturbance attenuation performance in terms of certain linear matrix inequalities (LMIs). Not only the robustly stabilizing state feedback H_∞ controller and impulsive controller, but also the stabilizing switching law can be constructed by using the corresponding feasible solution to the LMIs. Finally, the effectiveness of the algorithms is illustrated with an example.     

An Analog Characterization of the Grzegorczyk Hierarchy

We study a restricted version of Shannon's general purpose analog computer in which we only allow the machine to solve linear differential equations. We show that if this computer is allowed to sense inequalities in a differentiable way, then it can compute exactly the elementary functions, the smallest known recursive class closed under time and space complexity. Furthermore, we show that if the machine has access to a function f(x) with a suitable growth as x goes to infinity, then it can compute functions on any given level of the Grzegorczyk hierarchy. More precisely, we show that the model contains exactly the nth level of the Grzegorczyk hierarchy if it is allowed to solve n−3 non-linear differential equations of a certain kind. Therefore, we claim that, at least in this region of the complexity hierarchy, there is a close connection between analog complexity classes, the dynamical systems that compute them, and classical sets of subrecursive functions.     

Complément de Schur et sous-différentiel du second ordre d'une fonction convexe

Summary The Schur complement relative to the linear mappingA of a functionf is denotedAf and defined as the image off underA. In this paper we give some estimates for the second-order differential ofAf whenf is either a partially quadratic convex function or aC ² convex function with a nonsingular second-order differential. We then consider an arbitrary convex functionf and study the second-order differentiability ofAf in a more general sense.

     

Dynamic programming in stochastic control of systems with delay

We consider optimal control problems for systems described by stochastic differential equations with delay (SDDE). We prove a version of Bellman's principle of optimality (the dynamic programming principle) for a general class of such problems. That the class in general means that both the dynamics and the cost depends on the past in a general way. As an application, we study systems where the value function depends on the past only through some weighted average. For such systems we obtain a Hamilton-Jacobi-Bellman partial differential equation that the value function must solve if it is smooth enough. The weak uniqueness of the SDDEs we consider is our main tool in proving the result. Notions of strong and weak uniqueness for SDDEs are introduced, and we prove that strong uniqueness implies weak uniqueness, just as for ordinary stochastic differential equations.     

On Generalized Regular Stochastic Differential Delay Systems with Time Invariant Coefficients

Abstract

In this article, we consider the generalized linear regular stochastic differential delay system with constant coefficients and two simultaneous external differentiable and non differentiable perturbations. These kinds of systems are inherent in many application fields; among them we mention fluid dynamics, the modeling of multi body mechanisms, finance and the problem of protein folding. Using the regular Matrix Pencil theory, we decompose it into two subsystems, whose solutions are obtained as generalized processes (in the sense of distributions). Moreover, the form of the initial function is given, so the corresponding initial value problem is uniquely solvable. Finally, two illustrative applications are presented using white noise and fractional white noise, respectively.     

On asymptotic equivalence of perturbed linear systems of differential and difference equations

Standard results on asymptotic integration of systems of linear differential equations give sufficient conditions which imply that a system is strongly asymptotically equivalent to its principal diagonal part. These involve certain dichotomy conditions on the diagonal part as well as growth conditions on the off-diagonal perturbation terms. Here, we study perturbations with a triangularly-induced structure and see that growth conditions can be substantially weakened. In addition, we give results for not necessarily triangular perturbations which in some sense “interpolate” between the classical theorems of Levinson and Hartman-Wintner. Some analogous results for systems of linear difference equations are also given.     

Synchronization of non-autonomous chaotic systems with time-varying delay via delayed feedback control

In this paper, we investigate the synchronization of non-autonomous chaotic systems with time-varying delay via delayed feedback control. Using a combination of Riccati differential equation approach, Lyapunov-Krasovskii functional, inequality techniques, some sufficient conditions for exponentially stability of the error system are formulated in form of a solution to the standard Riccati differential equation. The designed controller ensures that the synchronization of non-autonomous chaotic systems are proposed via delayed feedback control and intermittent linear state delayed feedback control. Numerical simulations are presented to illustrate the effectiveness of these synchronization criteria.     

Invariant Sets in Banach Lattices and Linear Differential Equations and Delay

In this paper we characterize the invariance of some sets with respect to a C ₀-semigroup in Banach lattice. An application to a linear differential equation with delay is given.     

QUADRATIC INVARIANTS AND SYMPLECTIC STRUCTURE OF GENERAL LINEAR METHODS

1. IntroductionInvestigating whether a numerical method inherits some dynamical properties possessed bythe differential equation systems being integrated is an important field of numerical analysisand has received much attention in recent years See the review articlesof Sanz-Serna[9] and Section 11.16 of Hairer et. al.[2] for more detail concerning the symplectic methods. Most of the work on canonical iotegrators has dealt with one-step formulaesuch as Runge-Kutta methods and Runge'methods …     

Optimal Feedback Control for Linear Systems with Input Delays Revisited

The design problem of optimal feedback control for linear systems with input delays is very important in many engineering applications. Usually, the linear systems with input delays are firstly converted into linear systems without delays, and then all the design procedures are based on the delay-free linear systems. In this way, the feedback controllers are not designed in terms of the original states. This paper presents some new closed-form formula in terms of the original states for the delayed optimal feedback control of linear systems with input delays. We firstly reveal the essential role of the input delay in the optimal control design of the linear system with a single input delay: the input delay postpones the action of the optimal control only. Based on this fact, we calculate the delayed optimal control and find that the optimal state can be represented by a simple closed-form formula, so that the delayed optimal feedback control can be obtained in a simple way. We show that the delayed feedback gain matrix can be “smaller” than that for the controlled system with zero input delay, which implies that the input delay can be considered as a positive factor. In addition, we give a general formula for the delayed optimal feedback control of time-variant linear systems with multiple input delays. To show the effectiveness and advantages of the main results, we present five illustrative examples with detailed numerical simulation and comparison.     

p-Moment Stability of Stochastic Nonlinear Delay Systems with Impulsive Jump and Markovian Switching

Abstract

This article is concerned with the problem of p-moment stability of stochastic differential delay equations with impulsive jump and Markovian switching. In this model, the features of stochastic systems, delay systems, impulsive systems, and Markovian switching are all taken into account, which is scarce in the literature. Based on Lyapunov–Krasovskii functional method and stochastic analysis theory, we obtain new criteria ensuring p-moment stability of trivial solution of a class of impulsive stochastic differential delay equations with Markovian switching.