Control of Some Linear Stochastic Systems with a Fractional Brownian Motion

被引：12

作者：

Duncan, T. E. ^{[1
]}

Pasik-Duncan, B. ^{[1
]}

机构：

[1] Univ Kansas, Dept Math, Lawrence, KS 66045 USA

来源：

PROCEEDINGS OF THE 48TH IEEE CONFERENCE ON DECISION AND CONTROL, 2009 HELD JOINTLY WITH THE 2009 28TH CHINESE CONTROL CONFERENCE (CDC/CCC 2009) | 2009年

关键词：

linear quadratic Gaussian control; fractional Brownian motion; linear regulator; PREDICTION; NOISES;

D O I：

10.1109/CDC.2009.5400454

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper a control problem for a linear stochastic system driven by a fractional Brownian motion with a cost functional that is quadratic in the state and the control is considered. An optimal control is given explicitly using fractional calculus and the control is shown to depend on the prediction of the fractional Brownian motion as well as the usual linear feedback control for the linear-quadratic control problem.

引用

页码：8518 / 8522

页数：5

共 20 条

[1]

Chu Y., 1999, Proceedings of the 1999 American Control Conference (Cat. No. 99CH36251), P4438, DOI 10.1109/ACC.1999.786416

[2] Prediction for some processes related to a fractional Brownian motion [J].