Examples of optimal control for nonlinear stochastic control problems with partial information

Author

Charalambou, Charalambos D. ; Elliott, Robert J.

Author_Institution

Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada

Volume

3

fYear

1995

fDate

13-15 Dec 1995

Firstpage

2187

Abstract

Partially observable stochastic optimal control problems are considered. It is shown, via an information state approach and dynamic programming, that several classes of nonlinear systems with nonlinearities in the dynamics give linear feedback optimal control laws. These are the analogs of linear-exponential-quadratic-Gaussian (LEQG) and linear-quadratic-Gaussian (LQG) tracking problems

Keywords

dynamic programming; feedback; nonlinear control systems; optimal control; stochastic systems; LEQG tracking problems; LQG tracking problems; dynamic programming; information state approach; linear feedback optimal control laws; linear-exponential-quadratic-Gaussian tracking problems; linear-quadratic-Gaussian tracking problems; nonlinear stochastic control problems; nonlinear systems; partial information; partially observable stochastic optimal control; Cost function; Dynamic programming; Filtration; Linearity; Nonlinear systems; Optimal control; Partial differential equations; State feedback; Statistics; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1995., Proceedings of the 34th IEEE Conference on

Conference_Location

New Orleans, LA

ISSN

0191-2216

Print_ISBN

0-7803-2685-7

Type

conf

DOI

10.1109/CDC.1995.480527

Filename

480527