Optimal controller synthesis for linear stochastic systems with incomplete information regarding the state. Necessary conditions and numerical methods

摘要

Necessary optimality conditions for a linear incomplete feedback controller for stochastic systems operating on an unbounded time interval are proved. Numerical methods for optimal controller synthesis that ensure the system's stability and cost optimality of stabilization with respect to a given criterion are proposed. The stabilization problem for an orbit of an Earth satellite under disturbances and different compositions of measurements is considered.