Optimal Control of FBSDE with Partially Observable Information

2018 ◽  
pp. 59-74
Author(s):  
Guangchen Wang ◽  
Zhen Wu ◽  
Jie Xiong
Keyword(s):  
Optimal Control ◽  
Partially Observable

Nonlinear Stochastic Optimal Control of MDOF Partially Observable Linear Systems Excited by Combined Harmonic and Wide-Band Noises

2019 ◽  
Vol 19 (03) ◽  
pp. 1950019 ◽  
Author(s):  
R. C. Hu ◽  
X. F. Wang ◽  
X. D. Gu ◽  
R. H. Huan
Keyword(s):  
Optimal Control ◽  
Dynamic Programming ◽  
Control Problem ◽  
Linear Systems ◽  
Control Strategy ◽  
Stochastic Optimal Control ◽  
Wide Band ◽  
Dynamic Programming Principle ◽  
Stochastic Dynamic ◽  
Partially Observable

In this paper, nonlinear stochastic optimal control of multi-degree-of-freedom (MDOF) partially observable linear systems subjected to combined harmonic and wide-band random excitations is investigated. Based on the separation principle, the control problem of a partially observable system is converted into a completely observable one. The dynamic programming equation for the completely observable control problem is then set up based on the stochastic averaging method and stochastic dynamic programming principle, from which the nonlinear optimal control law is derived. To illustrate the feasibility and efficiency of the proposed control strategy, the responses of the uncontrolled and optimal controlled systems are respectively obtained by solving the associated Fokker–Planck–Kolmogorov (FPK) equation. Numerical results show the proposed control strategy can dramatically reduce the response of stochastic systems subjected to both harmonic and wide-band random excitations.

Optimal Control of a Partially Observable Failing System with Costly Multivariate Observations

2012 ◽  
Vol 28 (4) ◽  
pp. 584-608 ◽  
Author(s):  
Michael Jong Kim ◽  
Viliam Makis
Keyword(s):  
Optimal Control ◽  
Partially Observable

Optimal control for a class of partially observable systems†

Stochastics ◽  
1982 ◽  
Vol 8 (1) ◽  
pp. 17-38 ◽  
Author(s):  
N. Christopeit ◽  
K. Helmes
Keyword(s):  
Optimal Control ◽  
Partially Observable Systems ◽  
Partially Observable

Optimal Control of Partially Observable Semi-Markovian Failing Systems: An Analysis Using a Phase Methodology

2021 ◽  
Author(s):  
Akram Khaleghei ◽  
Michael Jong Kim
Keyword(s):  
Optimal Control ◽  
Control Policy ◽  
Computational Approach ◽  
Control Limit ◽  
New Approach ◽  
Problem Class ◽  
Optimal Value ◽  
Markov Decision ◽  
Decision Epoch ◽  
Partially Observable

In “Optimal Control of Partially Observable Semi-Markovian Failing Systems: An Analysis using a Phase Methodology,” Khaleghei and Kim study a maintenance control problem a as partially observable semi-Markov decision process (POSMDP), a problem class that is typically computationally intractable and not amenable to structural analysis. The authors develop a new approach based on a phase methodology where the idea is to view the intractable POSMDP as the limiting problem of a sequence of tractable POMDPs. They show that the optimal control policy can be represented as a control limit policy which monitors the estimated conditional reliability at each decision epoch, and, by exploiting this structure, an efficient computational approach to solve for the optimal control limit and corresponding optimal value is developed.

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