| The Optimal Control for the Output Feedback Stochastic System at the Risk-Sensitive Cost |
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| 作者姓名： | 戴立言 潘子刚 施颂椒 |
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| 作者单位： | Dai Liyan，Pan Zigang2 & Shi Songjiao
Department of Automation，Shanghai Jiaotong University，Shanghai 200030，P. R. China; Department of Electrical and Computer Engineering and Computer Science，University of Cincinnati，Cincinnati，OH 45221-0030，U.S. A |
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| 基金项目： | This project was supported by the National Natural Science Foundation of China(60004005)，the Excellent Young Teacher Program of MOE. |
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| 摘 要： | 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.
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The Optimal Control for the Output Feedback Stochastic System at the Risk-Sensitive Cost |
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| Dai Liyan,Pan Zigang & Shi Songjiao.The Optimal Control for the Output Feedback Stochastic System at the Risk-Sensitive Cost[J].Journal of Systems Engineering and Electronics,2003,14(1). |
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| Authors: | Dai Liyan Pan Zigang & Shi Songjiao |
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| Institution: | 1. Department of Automation, Shanghai Jiaotong University, Shanghai 200030, P. R. China
2. Department of Electrical and Computer Engineering and Computer Science, University of Cincinnati, Cincinnati, OH 45221-0030, U.S.A |
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| Abstract: | The optimal control of the partially observable stochastic system at the risk-sensitive cost is considered in this paper. The system dynamics has a general correlation between system and measurement noise. And the risk-sensitive cost contains a general quadratic term (with cross terms and extra linear terms). The explicit solution of such a problem is presented here using the output feedback control method. This clean and direct derivation enables one to convert such partial observable problems into the equivalent complete observable control problems and use the routine ways to solve them. |
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| Keywords: | Stochastic control Optimal control Change of probability |
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