Title :
Stochastic singular linear quadratic control problem: Incomplete information
Author :
Ma, Hongji ; Zhang, Weihai ; Hou, Ting ; Lin, Xiangyun
Author_Institution :
Coll. of Sci., Shandong Univ. of Sci. & Technol., Qingdao
Abstract :
A stochastic singular linear quadratic (LQ) problem is considered under the condition that the state of the dynamics is partially observable. This paper gives the Kalman-Bucy filtering of the state by means of the Girsanov transformation, upon which the suboptimal linear feedback control of the LQ problem is determined. Furthermore, it is shown that the well-posedness of the LQ problem is equivalent to the solvability of a generalized differential Riccati equation.
Keywords :
feedback; linear quadratic control; linear systems; nonlinear differential equations; stochastic processes; Kalman-Bucy filtering; generalized differential Riccati equation; stochastic singular linear quadratic control; suboptimal linear feedback control; Differential equations; Educational institutions; Filtering; Optimal control; Riccati equations; Space technology; Stochastic processes; Stochastic resonance; Symmetric matrices; Weight control; Generalized differential Riccati equation (GDRE); Girsanov transformation; Kalman-Bucy filtering; Singular optimal control;
Conference_Titel :
Intelligent Control and Automation, 2008. WCICA 2008. 7th World Congress on
Conference_Location :
Chongqing
Print_ISBN :
978-1-4244-2113-8
Electronic_ISBN :
978-1-4244-2114-5
DOI :
10.1109/WCICA.2008.4593588
