Abstract
An uncertain control model with time-delay is investigated based on the concept of uncertain process. The value function of the model is infinite-dimensional in the state. Some conditions are presented to guarantee the model is equivalent to a finite-dimensional one. The latter is solved by the equation of optimality. Then the solution of an uncertain linear quadratic optimal control problem with time-delay is obtained. An example is given to show how to solve an uncertain linear quadratic optimal control model with time-delay. Finally, as an application of the result, an optimal consumption problem with delay in financial market is dealt with.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: Journal of the Operations Research Society of Japan
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.