Operational Absolutely Optimal Dynamic Control of the Stochastic Differential Plant’s State by Its Output

The problem of synthesizing the average-optimal control law for a dynamic plant subject to random disturbances, if its state variables are measured partially or with random errors, is considered. Using the method of a posteriori sufficient coordinates (SCs), the complexity of constructing the well-known interval-optimal Mortensen controller is described and a much simpler algorithm for finding its operational-optimal analog is obtained. The new controller does not require the solution of the corresponding Bellman equation in inverse time, since it is optimal in the sense of a time-varying criterion. This makes it possible to disregard information about the future behavior of the object and reduces the procedure for finding the dependence of a control on sufficient coordinates to direct-time integration of the Fokker–Planck–Kolmogorov equation and to solving a problem of parametric nonlinear programming. The application of the obtained algorithm is demonstrated by the example of a linear-quadratic-Gaussian problem, as a result of which a new operational version of the well-known separation theorem is formulated. It represents a stochastic control device as a combination of a linear Kalman–Bucy filter and a linear operational-optimal positional controller. The latter differs from the traditional interval-optimal controller by the well-known gain and does not require the solution of the corresponding matrix Riccati equation in inverse time.