Journal of Zhejiang University-SCIENCE A

, Volume 5, Issue 11, pp 1313–1317 | Cite as

On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems

  • Wei-qui Zhu
  • Zu-guang Ying
Science Letters


A stochastic optimal control strategy for partially observable nonlinear quasi Hamiltonian systems is proposed. The optimal control forces consist of two parts. The first part is determined by the conditions under which the stochastic optimal control problem of a partially observable nonlinear system is converted into that of a completely observable linear system. The second part is determined by solving the dynamical programming equation derived by applying the stochastic averaging method and stochastic dynamical programming principle to the completely observable linear control system. The response of the optimally controlled quasi Hamiltonian system is predicted by solving the averaged Fok-ker-Planck-Kolmogorov equation associated with the optimally controlled completely observable linear system and solving the Riccati equation for the estimated error of system states. An example is given to illustrate the procedure and effectiveness of the proposed control strategy.

Key words

Nonlinear system Partially observation Stochastic optimal control Separation principle Stochastic averaging Dynamical programming 

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Copyright information

© Zhejiang University Press 2004

Authors and Affiliations

  1. 1.Department of Mechanics, College of Mechanical and Energy EngineeringZhejiang UniversityHangzhouChina

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