论文标题
状态输出风险受限的二次控制部分观察到的线性系统
State-Output Risk-Constrained Quadratic Control of Partially Observed Linear Systems
论文作者
论文摘要
我们提出了一种方法,用于对受过程和输出噪声干扰的部分线性时间流动(LTI)系统进行部分观察到的线性时间流动(LTI)系统。为了弥补两种类型的噪声引起的诱导变异性,州法规均受到两个风险限制。后者通过限制统计变异性,即随机干扰的最终控制器谨慎,即,累积的预期预测性预测差异的简化版本和输出。我们提出的配方导致了最佳的规避风险的政策,该政策保留了经典线性二次控制(LQ)控制的有利特征。特别是,最佳策略与最小均方误差(MMSE)估计值有关。策略的线性组成部分以更严格的方向更加严格地调节状态,在这种方向上,过程和输出噪声协方差,交叉协方差和相应的惩罚同时较大。这是通过以系统的方式“夸大”国家惩罚来实现的。附加仿射术语迫使状态免受过程和输出干扰的纯和交叉三阶统计。我们最佳政策的另一个有利的特征是,它可以预先计算,因此可以避免先前工作的局限性。稳定性分析表明,无论参数调整如何,派生的控制器始终是内部稳定的。通过广泛的数值模拟,通过工作示例说明了提出的规避风险策略的功能。
We propose a methodology for performing risk-averse quadratic regulation of partially observed Linear Time-Invariant (LTI) systems disturbed by process and output noise. To compensate against the induced variability due to both types of noises, state regulation is subject to two risk constraints. The latter renders the resulting controller cautious of stochastic disturbances, by restricting the statistical variability, namely, a simplified version of the cumulative expected predictive variance of both the state and the output. Our proposed formulation results in an optimal risk-averse policy that preserves favorable characteristics of the classical Linear Quadratic (LQ) control. In particular, the optimal policy has an affine structure with respect to the minimum mean square error (mmse) estimates. The linear component of the policy regulates the state more strictly in riskier directions, where the process and output noise covariance, cross-covariance, and the corresponding penalties are simultaneously large. This is achieved by "inflating" the state penalty in a systematic way. The additional affine terms force the state against pure and cross third-order statistics of the process and output disturbances. Another favorable characteristic of our optimal policy is that it can be pre-computed off-line, thus, avoiding limitations of prior work. Stability analysis shows that the derived controller is always internally stable regardless of parameter tuning. The functionality of the proposed risk-averse policy is illustrated through a working example via extensive numerical simulations.