| 正倒向随机微分方程与一类线性二次随机最优控制问题 |
| |
| 引用本文： | 王向荣,高自友,吴臻.正倒向随机微分方程与一类线性二次随机最优控制问题[J].自动化学报,2003,29(1):32-37. |
| |
| 作者姓名： | 王向荣 高自友 吴臻 |
| |
| 作者单位： | 1.北方交通大学,北京; |
| |
| 基金项目： | SupportedinpartbyNationalNaturalScienceFoundationofP .R .China(199710 0 2 ,10 0 0 10 2 2 ) ,Cross centuryExcellentPersonnelAward (1999)andTeaching&ResearchProgramforOutstandingYoungTeachers (2 0 0 0 )inHigherEducationInstituteofMinistryofEducation, |
| |
| 摘 要： | 讨论一类正倒向随机微分方程解的存在唯一性及其对应的一类线性二次随机最优控制
问题,利用单调性方法证明了一类特殊的正倒向随机微分方程解的存在唯一性定理,利用该结果
研究一类耦合了一个倒向随机微分方程的线性随机控制系统广义最优指标随机控制问题,得到
由正倒向随机微分方程的解所表示的唯一最优控制的显式表达式,并得到精确的线性反馈及其
对应的Riccati方程.
|
| 关 键 词： | 倒向随机微分方程 最优控制 Riccati方程 |
| 收稿时间： | 2001-6-28 |
Forward-Backward Stochastic Differential Equation and the Linear Quadratic Stochastic Optimal Control |
| |
| WANG Xiang-Rong,GAO Zi-You,Wu Zhen.Forward-Backward Stochastic Differential Equation and the Linear Quadratic Stochastic Optimal Control[J].Acta Automatica Sinica,2003,29(1):32-37. |
| |
| Authors: | WANG Xiang-Rong GAO Zi-You Wu Zhen |
| |
| Affiliation: | 1.Jiao Tong School,Northern Jiao Tong University,Beijing;Information School,Shandong University of Sciensc&Technology,Taian;Mathematics School,Shandong University,Jinan |
| |
| Abstract: | The uniqueness and existence of the solution are discussed for a special forward-backward stochastic differential equation and the linear quadratic stochastic optimal control problem. The explicit accurate formulas to the unique optimal control and the linear feedback are respectively obtained by the Riccati equation. |
| |
| Keywords: | Backward stochastic differential equation optimal control Riccati equation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《自动化学报》浏览原始摘要信息 |
|
点击此处可从《自动化学报》下载全文 |
