Paper 3, Section II, K

Optimization and Control
Part II, 2016

Consider the system in scalar variables, for t=1,2,,ht=1,2, \ldots, h :

xt=xt1+ut1yt=xt1+ηtx^0=x0+η0\begin{aligned} x_{t} &=x_{t-1}+u_{t-1} \\ y_{t} &=x_{t-1}+\eta_{t} \\ \hat{x}_{0} &=x_{0}+\eta_{0} \end{aligned}

where x^0\hat{x}_{0} is given, yt,uty_{t}, u_{t} are observed at tt, but x0,x1,x_{0}, x_{1}, \ldots and η0,η1,\eta_{0}, \eta_{1}, \ldots are unobservable, and η0,η1,\eta_{0}, \eta_{1}, \ldots are independent random variables with mean 0 and variance vv. Define x^t1\hat{x}_{t-1} to be the estimator of xt1x_{t-1} with minimum variance amongst all estimators that are unbiased and linear functions of Wt1=(x^0,y1,,yt1,u0,,ut2)W_{t-1}=\left(\hat{x}_{0}, y_{1}, \ldots, y_{t-1}, u_{0}, \ldots, u_{t-2}\right). Suppose x^t1=aTWt1\hat{x}_{t-1}=a^{T} W_{t-1} and its variance is Vt1V_{t-1}. After observation at tt of (yt,ut1)\left(y_{t}, u_{t-1}\right), a new unbiased estimator of xt1x_{t-1}, linear in WtW_{t}, is expressed

xt1=(1H)bTWt1+Hytx_{t-1}^{*}=(1-H) b^{T} W_{t-1}+H y_{t}

Find bb and HH to minimize the variance of xt1x_{t-1}^{*}. Hence find x^t\hat{x}_{t} in terms of x^t1,yt,ut1\hat{x}_{t-1}, y_{t}, u_{t-1}, Vt1V_{t-1} and vv. Calculate VhV_{h}.

Suppose η0,η1,\eta_{0}, \eta_{1}, \ldots are Gaussian and thus x^t=E[xtWt]\hat{x}_{t}=E\left[x_{t} \mid W_{t}\right]. Consider minimizing E[xh2+t=0h1ut2]E\left[x_{h}^{2}+\sum_{t=0}^{h-1} u_{t}^{2}\right], under the constraint that the control utu_{t} can only depend on WtW_{t}. Show that the value function of dynamic programming for this problem can be expressed

F(Wt)=Πtx^t2+F\left(W_{t}\right)=\Pi_{t} \hat{x}_{t}^{2}+\cdots

where F(Wh)=x^h2+VhF\left(W_{h}\right)=\hat{x}_{h}^{2}+V_{h} and ++\cdots is independent of WtW_{t} and linear in vv.