School ofAutomation,XJTU随机最优控制Stochastic Optimal ControlCCAIYUANLI1
School of Automation, XJTU © CAI YUANLI 1 随 机 最 优 控 制 Stochastic Optimal Control
SchoolofAutomation.XJTUContents最优性原理（principleofoptimality）2确定性最优控制基础32.1连续时间系统402.2离散时间系统492.3最优控制的数值解543随机动态规划技术2CAIYUANLI
School of Automation, XJTU © CAI YUANLI 2 Contents 1 最优性原理(principle of optimality). 1 2 确定性最优控制基础. 3 连续时间系统. 3 离散时间系统. 40 最优控制的数值解 . 49 3 随机动态规划技术. 54
School of Automation.XJTU553.1离散时间系统613.2连续时间系统714连续时间线性二次高斯问题724.1完全状态信息764.2非完全状态信息与分离原理835离散时间线性二次高斯问题875.1完全状态信息3CAIYUANLI
School of Automation, XJTU © CAI YUANLI 3 离散时间系统. 55 连续时间系统. 61 4 连续时间线性二次高斯问题. 71 完全状态信息. 72 非完全状态信息与分离原理 . 76 5 离散时间线性二次高斯问题. 83 完全状态信息. 87
SchoolofAutomation.XJTU915.2非完全状态信息976非线性随机系统次优控制方法986.1摄动法1016.2强迫分离法4CAIYUANLI
School of Automation, XJTU © CAI YUANLI 4 非完全状态信息 . 91 6 非线性随机系统次优控制方法. 97 摄动法. 98 强迫分离法.101
SchoolofAutomation,XJTU1最优性原理(principleofoptimality)An optimal policy has the property that no matter what the previousdecisions (i.e. controls) have been, the remaining decisions must constitutean optimal policy with regards to the state resulting from those previousdecisions.CCAIYUANLI?
School of Automation, XJTU © CAI YUANLI 1 1 最优性原理(principle of optimality) An optimal policy has the property that no matter what the previous decisions (i.e. controls) have been, the remaining decisions must constitute an optimal policy with regards to the state resulting from those previous decisions