報告承辦單位:數(shù)學(xué)與統(tǒng)計學(xué)院

報告內(nèi)容: Discrete-Time Nonlinear Stochastic Optimal Control Problem with Least-Square Approach

報告人姓名: Sie Long Kek

報告人所在單位: 馬來西亞敦胡先翁大學(xué)

報告人職稱/職務(wù)及學(xué)術(shù)頭銜:教授/博導(dǎo)

報告時間: 2019年6月16日下午14:00—15:00

報告地點: 理科樓A502

報告人簡介: Sie Long Kek (郭建隆)，馬來西亞敦胡先翁大學(xué)高級講師，于2011年在馬來西亞工藝大學(xué)獲得博士學(xué)位，在2009年修讀博士時，訪問澳大利亞科廷大學(xué)，并任研究助理。2014-2018年期間先后訪問長沙理工大學(xué)、蒙古國立大學(xué)、香港理工大學(xué)、以及重慶師范大學(xué)。Sie Long Kek老師研究的主要方向為最優(yōu)控制和參數(shù)估計的應(yīng)用問題以及計算數(shù)學(xué)和仿真建模的問題，已發(fā)表論文40余篇，主持馬來西亞高等教育部項目2項，培養(yǎng)博士和碩士6名。

報告摘要：In this talk, an efficient computational approach is proposed to solve the discrete time nonlinear stochastic optimal control problem. For this purpose, a linear quadratic regulator model, which is a linear dynamical system with the quadratic criterion cost function, is employed. In our approach, the model-based optimal control problem is reformulated into the input-output equations. In this way, the Hankel matrix and the observability matrix are constructed. Further, the sum squares of output error is defined. In these point of views, the least squares optimization problem is introduced, so as the differences between the real output and the model output could be calculated. Applying the first-order derivative to the sum squares of output error, the necessary condition is then derived. After some algebraic manipulations, the optimal control law is produced. By substituting this control policy into the input-output equations, the model output is updated iteratively. For illustration, an example of the direct current and alternating current converter problem is studied. As a result, the model output trajectory of the least squares solution is close to the real output with the smallest sum squares of output error. In conclusion, the efficiency and the accuracy of the approach proposed are highly presented.