A Stochastic Optimal Control Strategy for Partially Observable Nonlinear Systems
نویسنده
چکیده
A stochastic optimal control strategy for partially observable nonlinear systems is proposed. The optimal control force consists 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. For controlled quasi Hamiltonian systems, the response is predicted by solving the FPK equation and the Riccati equation. Copyright 2005 IFAC
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