FEEDBACK CONTROL OF LINEAR STOCHASTIC SYSTEMS
FEEDBACK CONTROL OF LINEAR STOCHASTIC SYSTEMS
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DOI：
10.1137/0311025
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发表时间：
1973-01-01
期刊：
影响因子：
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通讯作者：
LINDQUIST, A
中科院分区：
文献类型：
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作者：
LINDQUIST, A
讨论了一般类型的线性连续时间随机系统的反馈控制问题。各种类型的（经典）信息模式与完整和部分的意见（白色和有色测量噪声）被认为是。成本函数是二次的。定义了一类容许控制律，它包括所有线性和非线性控制策略，即，存在性、唯一性等都是有保障的。然后，我们确定的最优控制律的嵌入过程，相当于解决一个问题，没有反馈回路。我们研究在什么条件下的最优控制律是线性的数据。
Feedback control of linear continuous-time stochastic systems of general type is discussed. Various types of (classical) information patterns with both complete and partial observations (white and colored measurement noise) are considered. The cost functional is quadratic. A class of admissible control laws is defined which includes all linear and nonlinear control policies for which our problem makes sense, i.e., existence, uniqueness etc. are secured. Then, we determine the optimal control law by an imbedding procedure which amounts to solving a problem without a feedback loop. We investigate under what conditions the optimal control law is linear in the data.