Optimal controller switching for stochastic systems

Author

Skafidas, E. ; Evans, R.J. ; Mareels, I.M.

Author_Institution

Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia

Volume

4

fYear

1997

fDate

10-12 Dec 1997

Firstpage

3950

Abstract

Presents a solution to certain problems in switched controller design for stochastic dynamical systems. The main result is a separation theorem for partial information systems. This result is then used to convert the partial information stochastic control problem to a complete information stochastic control problem. We also show that certainty equivalence does not hold. The optimal sequence of controllers can be determined via an appropriate solution to a dynamic programming problem

Keywords

Kalman filters; Riccati equations; control system synthesis; differential equations; dynamic programming; filtering theory; optimal control; state feedback; stochastic systems; complete information stochastic control problem; dynamic programming problem; optimal controller switching; partial information stochastic control problem; partial information systems; separation theorem; stochastic dynamical systems; switched controller design; Control systems; Differential equations; Dynamic programming; Optimal control; Riccati equations; Signal processing; Stochastic processes; Stochastic systems; Switches; Temperature control;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1997., Proceedings of the 36th IEEE Conference on

Conference_Location

San Diego, CA

ISSN

0191-2216

Print_ISBN

0-7803-4187-2

Type

conf

DOI

10.1109/CDC.1997.652480

Filename

652480