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To address the optimal control problem in linear stochastic systems featuring state-delays and random time-horizons.

March 29, 2026IFAC-PapersOnLineOpen Access

Optimal regulator for linear stochastic systems with discrete and distributed state-delays and random time-horizon

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To address the optimal control problem in linear stochastic systems featuring state-delays and random time-horizons.
Derived closed-form solution for optimal control
Analyzed quadratic-linear cost functional
Utilized coupled Riccati and partial differential equations
Established affine state-feedback control law
Showed dependence on current and delayed states
Integrated past state values into control law

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Derives an explicit solution for optimal control in stochastic systems, suggesting new strategies for complex delays.

Alasmi et al. (2025) studied this question.

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