Frequency Theorem for discrete time stochastic system with multiplicative noise

Abstract

In this paper we consider the problem of minimizing a quadratic functional for a discrete-time linear stochastic system with multiplicative noise, on a standard probability space, in infinite time horizon. We show that the necessary and sufficient conditions for the existence of the optimal control can be formulated as matrix inequalities in frequency domain. Furthermore, we show that if the optimal control exists, then certain Lyapunov equations must have a solution. The optimal control is obtained by solving a deterministic linear-quadratic optimal control problem whose functional depends on the solution to the Lyapunov equations. Moreover, we show that under certain conditions, solvability of the Lyapunov equations is guaranteed. We also show that, if the frequency inequalities are strict, then the solution is unique up to equivalence.