Stochastic optimal control of partially observable nonlinear quasi-integrable Hamiltonian systems

Details Stochastic optimal control of partially observable nonlinear quasi-integrable Hamiltonian systems Stochastic optimal control of partially observable nonlinear quasi-integrable Hamiltonian systems

Jan 2010

adsabs.harvard.edu/cgi-bin/nph-data_query?bibcode=2010scchg..53..147f&link_type=abstract

Science China Physics, Mechanics and Astronomy, Volume 53, Issue 1, pp.147-154

Astronomy and Astrophysics

Astronomy

Quasi-Integrable Hamiltonian System, Partial Observation, Stochastic Optimal Control

Scientific paper

The stochastic optimal control of partially observable nonlinear quasi-integrable Hamiltonian systems is investigated. First, the stochastic optimal control problem of a partially observable nonlinear quasi-integrable Hamiltonian system is converted into that of a completely observable linear system based on a theorem due to Charalambous and Elliot. Then, the converted stochastic optimal control problem is solved by applying the stochastic averaging method and the stochastic dynamical programming principle. The response of the controlled quasi Hamiltonian system is predicted by solving the averaged Fokker-Planck-Kolmogorov equation and the Riccati equation for the estimated error of system states. As an example to illustrate the procedure and effectiveness of the proposed method, the stochastic optimal control problem of a partially observable two-degree-of-freedom quasi-integrable Hamiltonian system is worked out in detail.

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