Control of Discrete-Time Hybrid Stochastic Systems
Control of Discrete-Time Hybrid Stochastic Systems
复制标题
离散时间混合随机系统的控制
DOI：
10.23919/acc.1990.4790688
复制
发表时间：
1990
期刊：
影响因子：
--
通讯作者：
Y. Bar
中科院分区：
文献类型：
--
作者：
L. Campo;Y. Bar
具有马尔可夫跳跃参数的混合系统的现实随机控制问题可以在状态方程和测量方程中都具有切换参数。此外，一般来说，系统状态和跳跃状态都没有被完美地观察到。目前只有两个控制器可以解决这个问题。一种是基于启发式多模型划分（MMP）和假设修剪。另一种利用整个未来模型树，称为全树（FT）控制器。后者的性能明显优于前者，且复杂度相似。在本文中，我们提出了一种用于具有马尔可夫跳跃参数的随机系统的新随机控制算法。该控制算法是通过使用随机动态规划导出的，旨在用于现实的随机控制问题，即具有噪声状态观测的问题。这个新方案基于 r（模型数量）模型条件 Riccati 方程的相互作用，与实现具有天然的并行性。状态估计和模型识别是通过最近开发的交互多模型算法完成的。仿真结果表明，与MMP方案相比，这种新的控制算法可以大幅降低成本。此外，新算法的性能实际上与 FT 方案的性能相同，尽管新方案在递归的每一步都有固定的计算量，比 MMP 和 FT 算法简单得多。
A realistic stochastic control problem for hybrid systems with Markovian jump parameters can have the switching parameters in both the state and measurement equations. Furthermore, both the system state and the jump states are, in general, not perfectly observed. Currently there are only two existing controllers for this problem. One is based upon a heuristic multiple model partitioning (MMP) and hypothesis pruning. The other utilizes the entire future tree of models, and is called the Full-Tree (FT) controller. The performance of the latter is significantly superior to the former and their complexities are similar. In this paper we present a new stochastic control algorithm for stochastic systems with Markovian jump parameters. This control algorithm is derived through the use of stochastic dynamic programming and is designed to be used for realistic stochastic control problems, i.e., with noisy state observations. This new scheme, which is based upon the interaction of r (the number of models) model-conditioned Riccati equations, has a natural parallel to implementation. The state estimation and model identification is done via the recently developed Interacting Multiple Model algorithm. Simulation results show that a substantial reduction in cost can be obtained by this new control algorithm over the MMP scheme. Furthermore, the performance of the new algorithm is shown to be practically the same as that of the FT scheme even though the new scheme, which has a fixed amount of computations at each step of the recursion, is much simpler than both the MMP and FT algorithms.