Informatics and Applications
2020, Volume 14, Issue 2, pp 19-25
STOCHASTIC DIFFERENTIAL SYSTEM OUTPUT CONTROL BY THE QUADRATIC CRITERION. V. CASE OF INCOMPLETE STATE INFORMATION
Abstract
A generalization of the optimal control problem for the Ito diffusion process and a linear controlled output with a quadratic quality criterion for the case of indirect observation of the state is considered. The available solution of the problem with full information is used to synthesize control from indirect observations based on the principle of separation. The ability to separate control and state filtering tasks is justified by the properties of the quadratic criterion used. Instead of solving the arising auxiliary problem of optimal filtering described by the general equations of nonlinear filtering based on innovation processes, it is proposed to use the estimate of the conditionally optimal filter of V. S. Pugachev. Thus, the suboptimal solution of the control problem under consideration is obtained as a result of the traditional approach to control synthesis in the problem with incomplete information, consisting in a formal replacement in solving the corresponding problem with complete information of the state variable by its estimate. Finally, a case of numerical implementation of the obtained suboptimal control is proposed. It is based on the method of computer simulation, using a common beam of simulated paths both for calculating the parameters of a conditionally optimal filter and for calculating the parameters in the original control problem.
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[+] About this article
Title
STOCHASTIC DIFFERENTIAL SYSTEM OUTPUT CONTROL BY THE QUADRATIC CRITERION. V. CASE OF INCOMPLETE STATE INFORMATION
Journal
Informatics and Applications
2020, Volume 14, Issue 2, pp 19-25
Cover Date
2020-06-30
DOI
10.14357/19922264200203
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
stochastic differential equation; stochastic differential system; optimal control; stochastic filtering; conditionally-optimal filtering; computer simulations
Authors
A. V. Bosov 
Author Affiliations
Institute of Informatics Problems, Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
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