Conference paper

Belda K., Tesař L.

Proc. the 8th Int. Sci.-Tech. Conf. Process Control 2008

Universita Pardubice

Pardubice

2008

978-80-7395-077-4

Ing. Ludvík Tesař, Ph.D. (ÚTIA - Oddělení adaptivních systémů)

Stochastic control, fully probabilistic control design, LQ G

Control of stochastic systems is generally formulated as a minimization of expected value of a suitably chosen loss function of system inputs, outputs and desired behavior with respect to feedback control strategies. The standard strategies (e.g. Linear Quadratic Gaussian control) choose control actions that make the closed-loop behavior as close as possible to desired one using expected and desired output values. More general approach is to consider complex information on stochastic system behavior by complex probabilistic description. On this approach, fully probabilistic design is based. It uses probabilistic description for characterization of closed-loop of stochastic system and its desired behavior. This paper points out the basic principles of fully probabilistic design and its practical application to the control of Gaussian stochastic systems.