摘要
In this paper, we provide a separation theorem for the singular linear quadratic （LQ） control problem of ItS-type linear systems in the case of the state being partially observable. Above all, the Kalmam Bucy filtering of the dynamics is given by means of Girsanov transformation, by which the suboptimal feedback control of the LQ problem is determined. Furthermore, it is shown that the well-posedness of the LQ problem is equivalent to the solvability of a generalized differential Riccati equation （GDRE）.
In this paper, we provide a separation theorem for the singular linear quadratic （LQ） control problem of ItS-type linear systems in the case of the state being partially observable. Above all, the Kalmam Bucy filtering of the dynamics is given by means of Girsanov transformation, by which the suboptimal feedback control of the LQ problem is determined. Furthermore, it is shown that the well-posedness of the LQ problem is equivalent to the solvability of a generalized differential Riccati equation （GDRE）.
基金
Supported by the National Natural Science Foundation of China (Grant No. 61174078)
the Mathematical Tianyuan Youth Foundation of China (Grant No. 11126094)
the Key Project of Natural Science Foundation of Shandong Province (Grant No. ZR2009GZ001)
the research project of "SDUST Spring Bud" (Grant No.2009AZZ074)
