Optimal control of jump-linear gaussian systems†
Optimal control of jump-linear gaussian systems†
复制标题
跳跃线性高斯系统的最优控制†
DOI：
10.1080/00207178508933397
复制
发表时间：
1985
影响因子：
2.1
通讯作者：
K. Loparo
中科院分区：
文献类型：
--
作者：
Barry E. Griffiths;K. Loparo
本文研究了具有跳变参数的离散线性系统的控制问题。文献的回顾，以及发展动态规划的应用，这一类的控制问题。动态规划已被许多研究人员应用，据观察，没有封闭形式的解析解可以构造，因为“双重”方面的控制器。本工作的主要贡献是一个算法，适合于计算机实现，为最佳的双重控制。该算法的构造是基于将动态规划关系转换到一个足够的统计空间中，并使用有限维优化过程来获得作为统计函数的最优控制。这是通过首先开发一个合适的递归实现的“过滤器”，产生足够的统计问题，然后将此过滤器嵌入到动态规划方程。...
This paper investigates the problem of controlling a discrete-time linear system with jump parameters. A review of the literature is presented as well as a development of the application of dynamic programming to this class of control problems. Dynamic programming has been applied by many researchers and it was observed that no closed-form analytical solution could be constructed because of the ‘dual’ aspects of the controller. The main contribution of the present work is an algorithm, suitable for computer implementation, for the optimal dual control. The construction of the algorithm is based on transforming the dynamic programming relations into a space of sufficient statistics and using a finite-dimensional optimization procedure to obtain the optimal control as a function of the statistics. This is achieved by first developing a suitable recursive realization of a ‘filter’ which generates the sufficient statistics for the problem and then embedding this filter into the dynamic programming equations. ...