Robust optimal control of Bi-objective LQ system with noisy observation
報告人簡介
王光臣，山東大學控制科學與工程學院教授、博士生導師、常務副院長，教育部新世紀優秀人才。從事基于不完備信息的隨機系統優化控制理論研究，取得了以倒向分離原理為特色的創新成果，在Springer出版社出版專著1部。在控制理論國際期刊IEEE TAC、Automatica和SIAM J.Control Optim.發表學術論文多篇。曾獲陳翰馥獎1項，省部級科技獎3項。
內容簡介
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.
