We propose a suboptimal solution for the control problem for the Ito diffusion process and linear controlled output with a quadratic quality criterion for the case of indirect observations of the state. We use the previously obtained solution of the problem with complete information, the concept of separation between control and filtering problems, and the method of conditionally optimal filtering developed by V.S. Pugachev. We propose an alternative to the traditional practical approach for the synthesis of suboptimal control in a problem with incomplete information, which consists in a formal substitution in the solution of a state with its estimate. Instead of the problem of optimizing the output generated by the original model of the differential equation, we use as the state an estimate of a conditionally optimal filter. We develop one version of the numerical implementation of the proposed algorithm based on the Monte Carlo method and computer simulation.

我们提出了针对Ito扩散过程和线性控制输出的控制问题的次优解决方案，对于状态的间接观测情况，其二次质量准则。我们使用先前获得的具有完整信息的问题解决方案，控制和过滤问题之间的分离概念以及VS Pugachev开发的有条件最佳过滤方法。对于信息不完整的问题，我们提出了一种替代传统实践方法的非最优控制的方法，该方法包括用状态的估计形式对其进行形式上的替代。代替优化微分方程原始模型生成的输出的问题，我们使用条件最优滤波器的估计作为状态。