Optimal Control of Partially Observable Jump Diffusion Processes

摘要

The optimal control problem dealt with is to find a feedback control law. By applying the calculus of variations, necessary conditions on optimal controls are derived, these conditions being given by a pair of coupled nonlinear partial integro-differential equations. A stochastic second-order system, describing a perturbed Duffing oscillator, is used as a test case, and two numerical methods for computing the optimal controls of the system are suggested, the efficiency and applicability of the second method is demonstrated with the aid of examples.