二次型minimax指标下的随机控制

本文讨论了状态初值的统计特性为未知时,在二次性能指标下最一般的线性随机控制问题,不同于通常的假设,这里不要求噪声的正态性和量测噪声的非退化性,对这样的系统,针对最不利的初值统计特性,本文给出了最优随机控制。

STOCHASTIC CONTROL UNDER THE MINIMAX PERFORMANCE INDEX OF THE QUADRATIC TYPE

In this paper a general linear stochastic control system with the quadratic performance index is considered for the. case when the statistical characteristics of the initial value of théstate tire unknown and, unlike the usual assumption, neither the normality of the noise nor the non-degeneracy of the measurement noise is imposed. For such a system the optimal control is given for the most unfavorable statistical characteristics of the initial value.