Robust Optimal Control of Bi-objective LQ System with Noisy Observation

摘要: This talk is concerned with a kind of partially observable LQ control problem, where the coefficients of cost functional are uncertain representing different market conditions. By virtue of backward separation technique, stochastic maximum principle, as well as filtering method, a feedback form of candidate optimal control is designed, Moreover, through some delicate analysis, the existence of maximal reference probability is certified, Finally, a numerical simulation is presented to authenticate the theoretical results.

报告人简介：王光臣, 山东大学控制科学与工程学院副院长、教授、博士生导师，杰出青年基金获得者。一直从事基于不完备信息的随机系统优化控制理论研究，取得了以倒向分离原理为特色的创新成果，在 Springer 出版社出版专著 1 部，在控制理论国际期刊 SIAM J. Control Optim.，Automatica和IEEE Trans. Automatic Control发表学术论文多篇，曾获陈翰馥奖1项，省部级科技奖3项。