Nonlinear Stochastic Optimal Control with Input Saturation Constraints Based on Path Integrals
Nonlinear Stochastic Optimal Control with Input Saturation Constraints Based on Path Integrals
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DOI：
10.1002/tee.23177
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发表时间：
2020-07
影响因子：
1
通讯作者：
Satoshi Satoh;H. Kappen
中科院分区：
文献类型：
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作者：
Satoshi Satoh;H. Kappen
研究了一类有限时间非线性随机最优控制问题，其中输入饱和作为控制输入的硬约束。推导了该问题的随机汉密尔顿-Jacobi-Bellman（SHJB）方程，并通过扩展路径积分随机最优控制的迭代框架，给出了具体的求解方法.这是第一个结果，提供了一个最优反馈控制严格满足饱和约束作为解决方案的SHJB方程。© 2020日本电气工程师协会。出版社：Wiley Periodicals LLC
This paper is concerned with a finite‐time nonlinear stochastic optimal control problem with input saturation as a hard constraint on the control input. The stochastic Hamilton‐Jacobi‐Bellman (SHJB) equation associated with this problem is derived, and a concrete solution method is also presented by extending an iteration framework of path integral stochastic optimal control. This is the first result that provides an optimal feedback control rigorously satisfying the saturation constraint as a solution to the SHJB equation. © 2020 Institute of Electrical Engineers of Japan. Published by Wiley Periodicals LLC.