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首页> 外文期刊>IEEE Transactions on Automatic Control >The Separation Principle in Stochastic Control, Redux
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The Separation Principle in Stochastic Control, Redux

机译：Redux随机控制中的分离原理

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摘要

Over the last 50 years, a steady stream of accounts have been written on the separation principle of stochastic control. Even in the context of the linear-quadratic regulator in continuous time with Gaussian white noise, subtle difficulties arise, unexpected by many, that are often overlooked. In this paper we propose a new framework for establishing the separation principle. This approach takes the viewpoint that stochastic systems are well-defined maps between sample paths rather than stochastic processes per se and allows us to extend the separation principle to systems driven by martingales with possible jumps. While the approach is more in line with “real-life” engineering thinking where signals travel around the feedback loop, it is unconventional from a probabilistic point of view in that control laws for which the feedback equations are satisfied almost surely, and not deterministically for every sample path, are excluded.
机译：在过去的50年中，关于随机控制的分离原理，已经有稳定的账目。即使在连续二次线性调压器中出现高斯白噪声的情况下，也会出现许多人无法预料的细微困难，而这通常是被忽略的。在本文中，我们提出了建立分离原则的新框架。这种方法的观点是，随机系统是样本路径之间的明确定义的映射，而不是随机过程本身，它使我们可以将分离原理扩展到mar弹驱动的系统（可能存在跳跃）。尽管该方法更符合“现实”工程思想，即信号在反馈回路中传播，但从概率的角度来看，这是非常规的，因为控制定律几乎可以肯定地满足反馈方程，而不能确定地满足排除每个样本路径。

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