The Optimal Control for the Output Feedback Stochastic System at the Risk-Sensitive Cost

Abstract: The optimal control of the partially observable stochastic system at the risk-sensitive cost is considered in thispaper. The system dynamics has a general correlation between system and measurement noise. And the risk-sensitive costcontains a general quadratic term (with cross terms and extra linear terms). The explicit solution of such a problem ispresented here using the output feedback control method. This clean and direct derivation enables one to convert suchpartial observable problems into the equivalent complete observable control problems and use the routine ways to solvethem.     

随机系统输出反馈控制中信息状态推导的一种新方法

研究了部分可观测随机系统在风险灵敏度指标下的最优输出反馈控制问题．通过引入信息状态概念来获得输出反馈控制律,对于状态和输出(测量)噪声带有一般相关系数的随机系统,推导求得了其显式的信息状态表达式。