噪声有色时连续时间系统的最优控制

Optimum Control to Continuous-time System when the Noise is Colored

文［１，２］讨论了噪声是Ｗｉｅｎｅｒ过程时连续时间系统的最优控制问题．当噪声是有色时，本文采用配平方的方法进行了讨论，得到了最优控制量公式．文中公式表达明了清晰，避免了高维的计算上的困难，同时，所得公式与采用扩充状态变量所得公式不同，是又一种计算方式．

When the noise is colored, with the method of completing square, theoptimal control formula for continuous-time system is obtained. The difficulty in higherdimentional computation is over-come.