STOCHASTIC LINEAR-QUADRATIC OPTIMAL CONTROL WITH PARTIAL OBSERVATION
This paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required to be adapted to the filtration generated by the observation system, which in turn is influenced by the control. The variation method fails in this case due to the fact that the filtration is not fixed. To overcome the difficulty, we use the orthogonal decomposition of the state process to write the cost functional as the sum of two parts: one is a functional of the control and the filtering process and the other part is independent of the choice of the control. The first part possesses a mathematical structure similar to the full information problem. By completing the square, it is shown that the open-loop optimal control is given by a feedback representation via the filtering process. The optimal value is also obtained explicitly.
National Natural Science Foundation of China;National Natural Science Foundation of China;National Natural Science Foundation of China;Basic and Applied Basic Research Foundation of Guangdong Province[2021A1515010031];National Natural Science Foundation of China;
|WOS Research Area|
Automation & Control Systems ; Mathematics
Automation & Control Systems ; Mathematics, Applied
|WOS Accession No|
|ESI Research Field|
Cited Times [WOS]:0
|Document Type||Journal Article|
|Department||Department of Mathematics|
1.Department of Mathematics,Southern University of Science and Technology,Shenzhen,Guangdong,518055,China
2.Department of Mathematics,SUSTech International Center for Mathematics,Southern University of Science and Technology,Shenzhen,Guangdong,518055,China
|First Author Affilication||Department of Mathematics|
|First Author's First Affilication||Department of Mathematics|
Sun，Jingrui,Xiong，Jie. STOCHASTIC LINEAR-QUADRATIC OPTIMAL CONTROL WITH PARTIAL OBSERVATION[J]. SIAM Journal on Control and Optimization,2023,61(3):1231-1247.
Sun，Jingrui,&Xiong，Jie.(2023).STOCHASTIC LINEAR-QUADRATIC OPTIMAL CONTROL WITH PARTIAL OBSERVATION.SIAM Journal on Control and Optimization,61(3),1231-1247.
Sun，Jingrui,et al."STOCHASTIC LINEAR-QUADRATIC OPTIMAL CONTROL WITH PARTIAL OBSERVATION".SIAM Journal on Control and Optimization 61.3(2023):1231-1247.
|Files in This Item:||There are no files associated with this item.|
|Recommend this item|
|Export to Endnote|
|Export to Excel|
|Export to Csv|
|Similar articles in Google Scholar|
|Similar articles in Baidu Scholar|
|Similar articles in Bing Scholar|
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.