摘要
控制论中的一个基本问题是为系统设计反馈最优控制.这已在LQ问题中得到了很好的实现.但是,在已有的文献中,对这一问题的随机情形的讨论多集中在自然滤子情形.本文应用转置解这一概念在一般滤子情形下给出了带随机系数的SLQ问题最优反馈控制存在的充分条件,证明了对一维控制问题而言这还是必要条件.
In control theory, one of the fundamental issues is to design feedback controls, which is well achieved in the case of linear quadratic control problems. To date, the study of this problem in the sto- chastic setting is focused much on the natural filtration. In this paper, we utilize the notion of transposi- tion solution to give a sufficient condition for the existence of an optimal feedback control for the sto- chastic linear quadratic control problems with random coefficients in the general filtration setting, and we also show that it is also necessary for 1-D system.
出处
《四川大学学报（自然科学版）》
CAS
CSCD
北大核心
2018年第1期42-48,共7页
Journal of Sichuan University(Natural Science Edition)
基金
国家自然科学基金(11401404)
关键词
随机线性二次问题
反馈控制
一般滤子
转置解
Stochastic linear quadratic problems
Feedback control
General filtration
Transposition so-lution
