Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences
In this paper, we propose an efficient algorithm for solving a non-linear stochastic optimal control problem in discrete-time, where the true filtered solution of the original optimal control problem is obtained through solving a linear model-based optimal control problem with adjustable parameters...
| Main Authors: | , , |
|---|---|
| Format: | Journal Article |
| Published: |
2012
|
| Online Access: | http://hdl.handle.net/20.500.11937/21845 |
| _version_ | 1848750704432250880 |
|---|---|
| author | Kek, S. Teo, Kok Lay Mohd Ismail, A. |
| author_facet | Kek, S. Teo, Kok Lay Mohd Ismail, A. |
| author_sort | Kek, S. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | In this paper, we propose an efficient algorithm for solving a non-linear stochastic optimal control problem in discrete-time, where the true filtered solution of the original optimal control problem is obtained through solving a linear model-based optimal control problem with adjustable parameters iteratively. The adjustments of these parameters are based on the differences between the real plant and the linear model that are measured. The main feature of the algorithm proposed is the integration of system optimization and parameter estimation in an interactive way so that the correct filtered solution of the original optimal control problem is obtained when the convergence is achieved. For illustration, a nonlinear continuous stirred reactor tank problem is studied. The simulation results obtained demonstrate the efficiency of the algorithm proposed. |
| first_indexed | 2025-11-14T07:41:04Z |
| format | Journal Article |
| id | curtin-20.500.11937-21845 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:41:04Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-218452017-09-13T13:53:46Z Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences Kek, S. Teo, Kok Lay Mohd Ismail, A. In this paper, we propose an efficient algorithm for solving a non-linear stochastic optimal control problem in discrete-time, where the true filtered solution of the original optimal control problem is obtained through solving a linear model-based optimal control problem with adjustable parameters iteratively. The adjustments of these parameters are based on the differences between the real plant and the linear model that are measured. The main feature of the algorithm proposed is the integration of system optimization and parameter estimation in an interactive way so that the correct filtered solution of the original optimal control problem is obtained when the convergence is achieved. For illustration, a nonlinear continuous stirred reactor tank problem is studied. The simulation results obtained demonstrate the efficiency of the algorithm proposed. 2012 Journal Article http://hdl.handle.net/20.500.11937/21845 10.3934/naco.2012.2.207 restricted |
| spellingShingle | Kek, S. Teo, Kok Lay Mohd Ismail, A. Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences |
| title | Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences |
| title_full | Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences |
| title_fullStr | Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences |
| title_full_unstemmed | Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences |
| title_short | Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences |
| title_sort | filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences |
| url | http://hdl.handle.net/20.500.11937/21845 |