论文标题
一种用于求解数据驱动反馈控制问题的有效数值算法
An efficient numerical algorithm for solving data driven feedback control problems
论文作者
论文摘要
本文的目的是从数值上求解一类随机最佳控制问题，其中状态过程受ITô型随机微分方程的控制，控制过程都在漂移和扩散中都进入，并部分观察到。反馈形式的最佳控制是根据可用观察数据确定的。我们称这种类型的控制问题是数据驱动的反馈控制。我们引入的解决此类问题的计算框架旨在在观察信息的情况下找到最佳控制的最佳估计，以此作为条件期望。为了使我们的方法可行地从数据提供对受控系统的及时反馈，我们开发了一种有效的随机优化算法来实现我们的计算框架。
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an Itô type stochastic differential equation with control process entering both in the drift and the diffusion, and is observed partially. The optimal control of feedback form is determined based on the available observational data. We call this type of control problems the data driven feedback control. The computational framework that we introduce to solve such type of problems aims to find the best estimate for the optimal control as a conditional expectation given the observational information. To make our method feasible in providing timely feedback to the controlled system from data, we develop an efficient stochastic optimization algorithm to implement our computational framework.
