OPTIMAL ADAPTIVE LQG CONTROL FOR SYSTEMS WITH FINITE STATE PROCESS PARAMETERS

被引：54

作者：

CAINES, PE

CHEN, HF

机构：

[1] MCGILL UNIV,DEPT ELECT ENGN,MONTREAL H3A 2T5,QUEBEC,CANADA

[2] CHINESE ACAD SCI,INST SYST SCI,BEIJING,PEOPLES R CHINA

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1985年 / 30卷 / 02期

关键词：

CONTROL SYSTEMS; LINEAR - CONTROL SYSTEMS; OPTIMAL - CONTROL SYSTEMS; STOCHASTIC - MATHEMATICAL TECHNIQUES - Differential Equations;

D O I：

10.1109/TAC.1985.1103907

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The situation where a totally observed process y//t is generated by a stochastic differential equation whose parameters evolve on a finite set left brace 1,. . . N right brace according to a stochastic differential equation is considered. The optimal control law is sought with respect to quadratic loss functions on y//t and the control u//t. The auxiliary P. D. E. technique of Hijab is used together with a nonlinear filter to obtain the solution whose existence depends upon that of a smooth solution to the auxiliary P. D. E. and strong solutions to the system S. D. E. under the given control inputs.

引用

页码：185 / 189

页数：5

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