随机最优控制LQG问题中的一类可行法则

A Class of Feasible Feedback Laws in Stochastic Optimal Control LQG

本文对随机最优控制中的ＬＱＧ问题给出了一类比较简单易行而又较好的可行反馈法则，证明了这类法则是平稳法则，同时它还可以抑制状态变量实现值的个数成双指数增长。在这类可行法则上寻求最优法则的问题相当于解一个简单得多的随机规划问题。

This paper presents a kind of feedback laws which is relatively simple to construct and practical to operate. This kind of laws belongs to stationary laws, and at the same time avoids the explosion in state variables. It is proved that to look for the optimal law in the class of feasible laws is equivalent to solving a much simpler stochastic programming problem.