| Science Letters：On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems |
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| 引用本文： | Zhu WQ,Ying ZG. Science Letters：On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems[J]. 浙江大学学报(自然科学英文版), 2004, 5(11): 1313-1317 |
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| 作者姓名： | Zhu WQ Ying ZG |
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| 作者单位： | DepartmentofMechanics,CollegeofMechanicalandEnergyEngineering,ZhejiangUniversity,Hangzhou310027,China |
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| 摘 要： | A stochastic optimal control strategy for partially observable nonlinear quasi Hamiltonian systems is proposed. The optimal control forces consist of two parts. The first part is determined by the conditions under which the stochastic optimal control problem of a partially observable nonlinear system is converted into that of a completely observable linear system. The second part is determined by solving the dynamical programming equation derived by applying the stochastic averaging method and stochastic dynamical programming principle to the completely observable linear control system. The response of the optimally controlled quasi Hamiltonian system is predicted by solving the averaged Fokker-Planck-Kolmogorov equation associated with the optimally controlled completely observable linear system and solving the Riccati equation for the estimated error of system states. An example is given to illustrate the procedure and effectiveness of the proposed control strategy.
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| 关 键 词： | 非线性系统 部分可观察性 随机最佳控制 分离原理 随机价格 动力设计 |
On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems |
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| Zhu Wei-qiu,Ying Zu-guang. On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems[J]. Journal of Zhejiang University Science, 2004, 5(11): 1313-1317 |
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| Authors: | Zhu Wei-qiu Ying Zu-guang |
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| Affiliation: | Department of Mechanics, College of Mechanical and Energy Engineering, Zhejiang University, Hangzhou 310027, China. wqzhu@yahoo.com. |
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| Abstract: | A stochastic optimal control strategy for partially observable nonlinear quasi Hamiltonian systems is proposed. The optimal control forces consist of two parts. The first part is determined by the conditions under which the stochastic optimal control problem of a partially observable nonlinear system is converted into that of a completely observable linear system. The second part is determined by solving the dynamical programming equation derived by applying the stochastic averaging method and stochastic dynamical programming principle to the completely observable linear control system. The response of the optimally controlled quasi Hamiltonian system is predicted by solving the averaged Fokker-Planck-Kolmogorov equation associated with the optimally controlled completely observable linear system and solving the Riccati equation for the estimated error of system states. An example is given to illustrate the procedure and effectiveness of the proposed control strategy. |
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