Optimal Control for Stochastic Systems With Multiple Controllers of Different Information Structures
Optimal Control for Stochastic Systems With Multiple Controllers of Different Information Structures
复制标题
DOI：
10.1109/tac.2020.3035625
复制
发表时间：
2021-09
影响因子：
6.8
通讯作者：
Qingyuan Qi;Lihua Xie;Huanshui Zhang
中科院分区：
文献类型：
--
作者：
Qingyuan Qi;Lihua Xie;Huanshui Zhang
本文研究了具有多个控制器的随机系统的最优线性二次控制问题，其中每个控制器都有不同的信息结构。更具体地说，我们考虑了具有不同延迟状态信息的多个控制器的系统的最优控制问题。首先，给出了正向差分方程和后向差分方程的充分可解条件。在此基础上，提出了一种解耦方法，并基于给定的非对称Riccati方程推导了最优控制策略。最后，通过数值算例验证了主要结果的有效性。强调所提出的方法和结果可以看作是对具有非对称信息结构控制器的最优控制理论的重要补充。
In this article, we investigate the optimal linear quadratic control problem for stochastic systems with multiple controllers, where each controller has its own information structure, which differs from each other. More specifically, we consider the optimal control problem for systems with multiple controllers of different delayed state information. First, the necessary and sufficient solvability conditions are given in terms of forward and backward difference equations (FBSDEs). Further, an innovation method is proposed to decouple the FBSDEs, and the optimal control strategies are derived based on a given nonsymmetric Riccati equation. Finally, a numerical example is provided to show the effectiveness of the main results. It is stressed that the proposed methods and results can be seen as an important addition to the optimal control theory with asymmetric-information-structure controllers.