A Separation Theorem for Stochastic Singular Linear Quadratic Control Problem with Partial Information

被引：19
|
作者：
Ma, Hong-ji [1 ,2 ]
Hou, Ting [1 ]
机构：
[1] Shandong Univ Sci & Technol, Coll Sci, Qingdao, Peoples R China
[2] Beijing Univ Aeronaut & Astronaut, Dept Syst & Control, Beijing, Peoples R China
来源：
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2013年 / 29卷 / 02期
基金：
中国国家自然科学基金;
关键词：
singular optimal control; Kalman-Bucy filtering; separation theorem; linear systems; generalized differential Riccati equation;
D O I：
10.1007/s10255-013-0218-2
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we provide a separation theorem for the singular linear quadratic (LQ) control problem of Ito-type linear systems in the case of the state being partially observable. Above all, the Kalman-ucy filtering of the dynamics is given by means of Girsanov transformation, by which the suboptimal feedback control of the LQ problem is determined. Furthermore, it is shown that the well-posedness of the LQ problem is equivalent to the solvability of a generalized differential Riccati equation (GDRE).
引用
收藏
页码：303 / 314
页数：12
相关论文
共 50 条
  • [1] A separation theorem for stochastic singular linear quadratic control problem with partial information
    Hong-ji Ma
    Ting Hou
    [J]. Acta Mathematicae Applicatae Sinica, English Series, 2013, 29 : 303 - 314
  • [2] A Separation Theorem for Stochastic Singular Linear Quadratic Control Problem with Partial Information
    Hong-ji MA
    Ting HOU
    [J]. Acta Mathematicae Applicatae Sinica, 2013, (02) : 303 - 314
  • [3] A Separation Theorem for Stochastic Singular Linear Quadratic Control Problem with Partial Information
    Hongji MA
    Ting HOU
    [J]. Acta Mathematicae Applicatae Sinica(English Series), 2013, 29 (02) : 303 - 314
  • [4] Stochastic Singular Linear Quadratic Control Problem: Incomplete Information
    Ma, Hongji
    Zhang, Weihai
    Hou, Ting
    Lin, Xiangyun
    [J]. 2008 7TH WORLD CONGRESS ON INTELLIGENT CONTROL AND AUTOMATION, VOLS 1-23, 2008, : 4137 - +
  • [5] THE STOCHASTIC LINEAR QUADRATIC CONTROL PROBLEM WITH SINGULAR ESTIMATES
    Hafizoglu, Cavit
    Lasiecka, Irena
    Levajkovic, Tijana
    Mena, Hermann
    Tuffaha, Amjad
    [J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2017, 55 (02) : 595 - 626
  • [6] Linear quadratic Pareto optimal control problem of stochastic singular systems
    Zhang, Weihai
    Lin, Yaning
    Xue, Lingrong
    [J]. JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS, 2017, 354 (02): : 1220 - 1238
  • [7] A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information
    Zhang, Shuaiqi
    Xiong, Jie
    Shi, Jingtao
    [J]. SYSTEMS & CONTROL LETTERS, 2021, 157 (157)
  • [8] Linear quadratic control of backward stochastic differential equation with partial information
    Wang, Guangchen
    Wang, Wencan
    Yan, Zhiguo
    [J]. APPLIED MATHEMATICS AND COMPUTATION, 2021, 403
  • [9] SINGULAR PERTURBATIONS IN A STOCHASTIC LINEAR-QUADRATIC OPTIMAL-CONTROL PROBLEM
    GLIZER, VY
    [J]. DIFFERENTIAL EQUATIONS, 1990, 26 (05) : 531 - 536
  • [10] Singular Linear Quadratic Optimal Control Problem for Stochastic Nonregular Descriptor Systems
    Wang, Xin
    Liu, Bin
    [J]. ASIAN JOURNAL OF CONTROL, 2018, 20 (05) : 1782 - 1792
12345