The problem of the optimal control of stochastic differential equations with random matrix-valued coefficients is considered. Optimal control of a class of bilinear stochastic systems which, in a sense, are linear systems with stochastic parameters is studied. The cost function is a quadratic form and the random coefficients are assumed to be partially observable by the controller. By means of the stochastic Bellman equation, the optimal control of stochastic dynamic models with partially observable coefficients is derived. The optimal control is shown to be a linear function of the observable states and a nonlinear function of random parameters. The theory is applied to an optimal control design of an aircraft landing in wind gusts.


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    Title :

    Stochastic dynamic system suboptimal control with uncertain parameters


    Additional title:

    Stochastisch-dynamische Suboptimalwertregelung mit Zufallsparametern


    Contributors:
    Lee, M.H. (author) / Lolodziej, W.J. (author) / Mohler, R.R. (author)

    Published in:

    Publication date :

    1985


    Size :

    7 Seiten, 16 Quellen



    Type of media :

    Article (Journal)


    Type of material :

    Print


    Language :

    English




    Stochastic Dynamic System Suboptimal Control with Uncertain Parameters

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