Robust Optimal Control of Biobjective Linear-Quadratic System With Noisy Observation

• 成果类型: Article
• 署名作者: Wang, Guangchen; Xing, Zhuangzhuang
• 署名单位: Shandong University
• 刊物名称: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
• ISSN/ISSBN: 0018-9286
• DOI: 10.1109/TAC.2023.3262744
• 发表日期: 2024
• 页码: 303-308
• 关键词: Optimal control; PROCESS CONTROL; COSTS; Stochastic processes; uncertainty; mathematical models; Technological innovation; Backward separation technique; biobject; maximal reference probability; stochastic filtering; stochastic maximum principle

摘要

note is dedicated to a kind of partially observable linear-quadratic control problem with model uncertainty, where the coefficients of cost functional are uncertain representing different market conditions. By virtue of backward separation technique, stochastic maximum principle, as well as filtering method, a feedback form of candidate optimal control is designed. Moreover, through some delicate analysis, the existence of maximal reference probability lambda (& lowast;) is certified. A considerable innovation of this note is the characterization of lambda (& lowast;) by computation of the optimal cost. Finally, a numerical simulation is presented to authenticate our theoretical results.