Observability and Optimal Control Problems of Stochastic Switched Systems Based on Non-Cooperative Dynamic Games

This article studies the observability and optimal control problems of stochastic switched systems which is based on a non cooperative dynamic game theory involving one leader and multiple followers. Through the application of operators, duality of the system and the characteristics of the forward-b...

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Bibliographic Details
Published in2018 37th Chinese Control Conference (CCC) pp. 1428 - 1432
Main Authors Zhiya, Li, Feng, Liu
Format Conference Proceeding
LanguageEnglish
Published Technical Committee on Control Theory, Chinese Association of Automation 01.07.2018
Subjects
Exact Observability
FBSDE
Games
Mathematical model
Nash Equilibrium
Non-Cooperative Dynamic Game
Observability
Observability Inequality
Observers
Optimal Control Problem
Stochastic processes
Stochastic Switched Systems
Switched systems
Switches
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Summary:This article studies the observability and optimal control problems of stochastic switched systems which is based on a non cooperative dynamic game theory involving one leader and multiple followers. Through the application of operators, duality of the system and the characteristics of the forward-backward stochastic differential equations (FBSDE), four equivalent observability criterions for the dual system of the modeled system are given. Meanwhile, it is proved that an optimization problem of the adjoint backward stochastic differential equation (BSDE) is equivalent to a norm optimal problem.
ISSN:2161-2927
DOI:10.23919/ChiCC.2018.8484038