摘要
This paper considers the stochastic linear quadratic regulation （LQR） problem for Ito stochastic systems with multiple input controllers. The explicit controllers are given in terms of two Riccati equations by introducing one new costate and establishing the homogeneous relationship be- tween the state and the new costate. More importantly, it is more computation saving for the derived Riccati equations than the one derived by augmentation technique.
基金
supported by the Taishan Scholar Construction Engineering by Shandong Government
the National Natural Science Foundation of China under Grant Nos.61120106011,61403235,61573221 and 61633014
the Natural Science Foundation of Shandong Province under Grant No.ZR2014FQ011
the China Postdoctoral Science Foundation under Grant No.2014M561929
the Special Funds for Postdoctoral Innovation Project of Shandong Province under Grant No.201402032
