Optimal model matching problem for stochastic signals with an unknown fast decreasing spectral density

DOI10.1134/S1064562411010042MaRDI QIDQ656263zbMATH OpenFDO

Authors V. A. Yakubovich, A. V. Proskurnikov

Publication date 17 January 2012

Published in Doklady Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S1064562411010042

zbMATH Keywords

benchmark trackingcontrol theorydesign of optimal controlsexternal signalslinear stochastic differential equationlinear-quadratic functionaloptimal model matchingproblem for stochastic signalssources of noisespectral densitystationary process

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Problems with incomplete information (optimization) (49N30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Review text

The paper studies the optimal control with a linear-quadratic ergodic functional (average cost per unit of time) which penalizes deviations of the process \((z(t))\) from a benchmark (a stationary process from a certain class) and tracks the costs of applying controls. The state \((x(t), z(t))\) is described by a linear stochastic differential equation depending on two sources of noise (one of them drives the benchmark process as well). The contribution of the paper is the design of \(\varepsilon\)-optimal controls when the spectral density of the noise is not known -- only the upper bound is given and it decreases quickly at infinity. This paper borrows from previous results of the second authors: [Dokl. Akad. Nauk 338, 19--24 (1994; Zbl 0859.93040)] and [\textit{A. V. Proskurnikov} and \textit{V. A. Yakubovich}, Dokl. Math. 74, No. 1, 614--618 (2006); translation from Dokl. Akad. Nauk., Ross. Akad. Nauk. 409, No. 4, 461--466 (2006; Zbl 1138.93053), Dokl. Akad. Nauk, Ross. Akad. Nauk 421, No. 3, 321--325 (2008); translation in Dokl. Math., Control Theory 78, No. 1, 631--635 (2008; Zbl 1164.93008)].

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Cites work

• A frequency theorem in control theory
• scientific article; zbMATH DE number 3886816 (Why is no real title available?)
• scientific article; zbMATH DE number 3215022 (Why is no real title available?)

Cited in

(2)

• Optimal tracking of stochastic signals with unknown spectral density in discrete-time control systems
• Suboptimal solutions to the time-varying model matching problem

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