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Adaptive optimal control system design for semi-active suspension system by supposing variable parameters under exogenous road disturbance
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作者 Viet Nguyen Hoang Feiqi Deng Chi Nguyen Van 《Control Theory and Technology》 2025年第1期64-73,共10页
This article presents an adaptive optimal control method for a semi-active suspension system.The model of the suspension system is built,in which the components of uncertain parameters and exogenous disturbance are de... This article presents an adaptive optimal control method for a semi-active suspension system.The model of the suspension system is built,in which the components of uncertain parameters and exogenous disturbance are described.The adaptive optimal control law consists of the sum of the optimal control component and the adaptive control component.First,the optimal control law is designed for the model of the suspension system after ignoring the components of uncertain parameters and exogenous disturbance caused by the road surface.The optimal control law expresses the desired dynamic characteristics of the suspension system.Next,the adaptive component is designed with the purpose of compensating for the effects caused by uncertain parameters and exogenous disturbance caused by the road surface;the adaptive component has adaptive parameter rules to estimate uncertain parameters and exogenous disturbance.When exogenous disturbances are eliminated,the system responds with an optimal controller designed.By separating theoretically the dynamic of a semi-active suspension system,this solution allows the design of two separate controllers easily and has reduced the computational burden and the use of too many tools,thus allowing for more convenient hardware implementation.The simulation results also show the effectiveness of damping oscillations of the proposed solution in this article. 展开更多
关键词 Quarter car suspension system Semi-active suspension Adaptive control optimal control Linear-quadratic regulator Exogenous disturbance
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Stability Analysis of Optimal Control Systems via Liapunov Method
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作者 刘先省 文成林 《Chinese Quarterly Journal of Mathematics》 CSCD 1999年第2期83-87, ,共5页
The controlled objects are uncertain stable,but the optimal control systems which are constituted by the controlled objects under certain conditions are certain stable. This paper analyses stability of optimal control... The controlled objects are uncertain stable,but the optimal control systems which are constituted by the controlled objects under certain conditions are certain stable. This paper analyses stability of optimal control systems which have quadric performance index via Liapunov method. 展开更多
关键词 STABILITY liapunov function optimal control optimal control systems
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Optimal control system of the intermittent bus-only approach 被引量:1
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作者 Jie Jiang Yulin Chang 《Journal of Modern Transportation》 2014年第3期167-173,共7页
To guarantee bus priority with a minimum impact on car traffic at intersections, an optimal control system of the intermittent bus-only approach (IBA) was proposed. The problems of the existing system are first solv... To guarantee bus priority with a minimum impact on car traffic at intersections, an optimal control system of the intermittent bus-only approach (IBA) was proposed. The problems of the existing system are first solved through optimization: the judgment time of the IBA system was advanced to allow a bus to jump car queues if the bus was detected to arrive at the intersection, and the instant that the IBA lane became available to cars was controlled dynamically to increase the capacity of the IBA lane. The total car delay in one cycle was then analyzed quantitatively when implementing the optimal control system. The results show that in comparison with the existing system of the IBA, the car delay is greatly reduced and the probability of a car stopping twice is low after optimizing the IBA system. 展开更多
关键词 Intermittent bus-only approach Bus priority optimal control Car delay Bus detection
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Actor–Critic Trajectory Controller with Optimal Design for Nonlinear Robotic Systems
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作者 Nien-Tsu Hu Hsiang-Tung Kao +1 位作者 Chin-Sheng Chen Shih-Hao Chang 《Computers, Materials & Continua》 2026年第4期1996-2021,共26页
Trajectory tracking for nonlinear robotic systems remains a fundamental yet challenging problem in control engineering,particularly when both precision and efficiency must be ensured.Conventional control methods are o... Trajectory tracking for nonlinear robotic systems remains a fundamental yet challenging problem in control engineering,particularly when both precision and efficiency must be ensured.Conventional control methods are often effective for stabilization but may not directly optimize long-term performance.To address this limitation,this study develops an integrated framework that combines optimal control principles with reinforcement learning for a single-link robotic manipulator.The proposed scheme adopts an actor–critic structure,where the critic network approximates the value function associated with the Hamilton–Jacobi–Bellman equation,and the actor network generates near-optimal control signals in real time.This dual adaptation enables the controller to refine its policy online without explicit system knowledge.Stability of the closed-loop system is analyzed through Lyapunov theory,ensuring boundedness of the tracking error.Numerical simulations on the single-link manipulator demonstrate that themethod achieves accurate trajectory followingwhile maintaining lowcontrol effort.The results further showthat the actor–critic learning mechanism accelerates convergence of the control policy compared with conventional optimization-based strategies.This work highlights the potential of reinforcement learning integrated with optimal control for robotic manipulators and provides a foundation for future extensions to more complex multi-degree-of-freedom systems.The proposed controller is further validated in a physics-based virtual Gazebo environment,demonstrating stable adaptation and real-time feasibility. 展开更多
关键词 Reinforcement learning optimal control actor–critic algorithm trajectory tracking nonlinear systems robotic manipulator
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A Stochastic Optimal Control for a Class of LTI Systems With a State-Dependent Wiener Process:An Algebraic Approach
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作者 Kento Fujita Daisuke Tsubakino Shiuji Hara 《IEEE/CAA Journal of Automatica Sinica》 2026年第2期489-491,共3页
Dear Editor,In this letter,we focus on the algebraic relationship between the coefficient matrices and the solution of the stochastic algebraic Riccati equation.It is revealed that,if the coefficient matrices are in a... Dear Editor,In this letter,we focus on the algebraic relationship between the coefficient matrices and the solution of the stochastic algebraic Riccati equation.It is revealed that,if the coefficient matrices are in an algebra,then the solution(and also the control gain in many cases)is also in the same algebra.The main result is verified by a numerical simulation. 展开更多
关键词 stochastic optimal control algebraic relationship algebraic approach state dependent Wiener process coefficient matrices stochastic algebraic Riccati equation numerical simulation stochastic algebraic riccati equationit
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A New Inversion-free Iterative Method for Solving the Nonlinear Matrix Equation and Its Application in Optimal Control
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作者 GAO Xiangyu XIE Weiwei ZHANG Lina 《应用数学》 北大核心 2026年第1期143-150,共8页
In this paper,we consider the maximal positive definite solution of the nonlinear matrix equation.By using the idea of Algorithm 2.1 in ZHANG(2013),a new inversion-free method with a stepsize parameter is proposed to ... In this paper,we consider the maximal positive definite solution of the nonlinear matrix equation.By using the idea of Algorithm 2.1 in ZHANG(2013),a new inversion-free method with a stepsize parameter is proposed to obtain the maximal positive definite solution of nonlinear matrix equation X+A^(*)X|^(-α)A=Q with the case 0<α≤1.Based on this method,a new iterative algorithm is developed,and its convergence proof is given.Finally,two numerical examples are provided to show the effectiveness of the proposed method. 展开更多
关键词 Nonlinear matrix equation Maximal positive definite solution Inversion-free iterative method optimal control
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Compact formulation of the augmented evolution equation for optimal control computation
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作者 Sheng Zhang Jiangtao Huang +2 位作者 Gang Liu Fei Liao Fangfang Hu 《Control Theory and Technology》 2026年第1期96-110,共15页
The augmented evolution equation is established under the framework of the Variation Evolving Method(VEM)that seeks optimal solutions by solving the transformed Initial-Value Problems(IVPs).To improve the numerical pe... The augmented evolution equation is established under the framework of the Variation Evolving Method(VEM)that seeks optimal solutions by solving the transformed Initial-Value Problems(IVPs).To improve the numerical performance,its compact form is developed herein.Through replacing the states and costates variation evolution with that of the controls,the dimension-reduced Evolution Partial Differential Equation(EPDE)only solves the control variables along the variation time to get the optimal solution,and the initial conditions for the definite solution may be arbitrary.With this equation,the scale of the resulting IVPs,obtained via the semi-discrete method,is significantly reduced and they may be solved with common Ordinary Differential Equation(ODE)integration methods conveniently.Meanwhile,the state and the costate dynamics share consistent stability in the numerical computation and this avoids the intrinsic numerical difficulty as in the indirect methods.Numerical examples are solved and it is shown that the compact form evolution equation outperforms the primary form in the precision,and the efficiency may be higher for the dense discretization.Actually,it is uncovered that the compact form of the augmented evolution equation is a continuous realization of the Newton type iteration mechanism. 展开更多
关键词 optimal control Lyapunov dynamics stability Variation evolution Evolution partial differential equation Initial-value problem
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ADAPT:A Model-Free Adaptive Optimal Control for Continuum Robots
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作者 Haiyang Fang Sishen Yuan +2 位作者 Hongliang Ren Shuping He Shing Shin Cheng 《IEEE/CAA Journal of Automatica Sinica》 2026年第1期205-217,共13页
Realizing optimal control performance for continuum robots(CRs) poses huge challenges on traditional modelbased optimal control approaches due to their high degrees of freedom,complex nonlinear dynamics and soft conti... Realizing optimal control performance for continuum robots(CRs) poses huge challenges on traditional modelbased optimal control approaches due to their high degrees of freedom,complex nonlinear dynamics and soft continuum morphologies which are difficult to explicitly model.This paper proposes a model-free adaptive optimal control algorithm(ADAPT)for CRs.In our strategy,we consider CRs as a class of nonlinear continuous-time dynamical systems in the state space,wherein the position of the end-effector is considered as the state and the input torque is mapped as the control input.Then,the optimized Hamilton-Jacobi-Bellman(HJB) equation is derived by optimal control principles,and subsequently solved by the proposed ADAPT algorithm without requiring knowledge of the original system dynamics.Under some mild assumptions,the global stability and convergence of the closed-loop control approach are guaranteed.Several simulation experiments are conducted on a magnetic CR(MCR) to demonstrate the practicality and effectiveness of the ADAPT algorithm. 展开更多
关键词 Adaptive optimal control continuum robots(CRs) Hamilton-Jacobi-Bellman(HJB)equation model-free approach
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Data-Driven Predictive Control for Continuous-Time Nonlinear Systems:A Nonzero-Sum Game Approach
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作者 Juan Liu Hao Zhang +1 位作者 Yifan Xie Frank Allgöwer 《IEEE/CAA Journal of Automatica Sinica》 2026年第2期495-497,共3页
Dear Editor,This letter proposes a reinforcement learning-based predictive learning algorithm for unknown continuous-time nonlinear systems with observation loss.Firstly,we construct a temporal nonzero-sum game over p... Dear Editor,This letter proposes a reinforcement learning-based predictive learning algorithm for unknown continuous-time nonlinear systems with observation loss.Firstly,we construct a temporal nonzero-sum game over predictive control input sequences,deriving multiple optimal predictive control input sequences from its solution. 展开更多
关键词 predictive control nonzero sum game observation loss predictive control input sequencesderiving continuous time nonlinear systems optimal predictive control input sequences reinforcement learning
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Optimal Control of Unknown Collective Spin Systems via a Neural Network Surrogate
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作者 Yaofeng Chen Li You 《Chinese Physics Letters》 2025年第10期117-128,共12页
Quantum optimal control(QOC)relies on accurately modeling system dynamics and is often challenged by unknown or inaccessible interactions in real systems.Taking an unknown collective spin system as an example,this wor... Quantum optimal control(QOC)relies on accurately modeling system dynamics and is often challenged by unknown or inaccessible interactions in real systems.Taking an unknown collective spin system as an example,this work introduces a machine-learning-based,data-driven scheme to overcome the challenges encountered,with a trained neural network(NN)assuming the role of a surrogate model that captures the system’s dynamics and subsequently enables QOC to be performed on the NN instead of on the real system.The trained NN surrogate proves effective for practical QOC tasks and is further demonstrated to be adaptable to different experimental conditions,remaining robust across varying system sizes and pulse durations. 展开更多
关键词 neural network quantum optimal control surrogate model trained neural network nn assuming quantum optimal control qoc relies collective spin system optimal control captures system s dynamics
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Robust-optimal control of electromagnetic levitation system with matched and unmatched uncertainties:experimental validation
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作者 Amit Pandey Dipak M.Adhyaru 《Control Theory and Technology》 2025年第1期28-48,共21页
The electromagnetic levitation system(EMLS)serves as the most important part of any magnetic levitation system.However,its characteristics are defined by its highly nonlinear dynamics and instability.Furthermore,the u... The electromagnetic levitation system(EMLS)serves as the most important part of any magnetic levitation system.However,its characteristics are defined by its highly nonlinear dynamics and instability.Furthermore,the uncertainties in the dynamics of an electromagnetic levitation system make the controller design more difficult.Therefore,it is necessary to design a robust control law that will ensure the system’s stability in the presence of these uncertainties.In this framework,the dynamics of an electromagnetic levitation system are addressed in terms of matched and unmatched uncertainties.The robust control problem is translated into the optimal control problem,where the uncertainties of the electromagnetic levitation system are directly reflected in the cost function.The optimal control method is used to solve the robust control problem.The solution to the optimal control problem for the electromagnetic levitation system is indeed a solution to the robust control problem of the electromagnetic levitation system under matched and unmatched uncertainties.The simulation and experimental results demonstrate the performance of the designed control scheme.The performance indices such as integral absolute error(IAE),integral square error(ISE),integral time absolute error(ITAE),and integral time square error(ITSE)are compared for both uncertainties to showcase the robustness of the designed control scheme. 展开更多
关键词 Nonlinear system Robust control optimal control HJB equation Lyapunov stability Electromagnetic levitation system
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Inverse Reinforcement Learning Optimal Control for Takagi-Sugeno Fuzzy Systems
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作者 Wenting SONG Shaocheng TONG 《Artificial Intelligence Science and Engineering》 2025年第2期134-146,共13页
Inverse reinforcement learning optimal control is under the framework of learner-expert.The learner system can imitate the expert system's demonstrated behaviors and does not require the predefined cost function,s... Inverse reinforcement learning optimal control is under the framework of learner-expert.The learner system can imitate the expert system's demonstrated behaviors and does not require the predefined cost function,so it can handle optimal control problems effectively.This paper proposes an inverse reinforcement learning optimal control method for Takagi-Sugeno(T-S)fuzzy systems.Based on learner systems,an expert system is constructed,where the learner system only knows the expert system's optimal control policy.To reconstruct the unknown cost function,we firstly develop a model-based inverse reinforcement learning algorithm for the case that systems dynamics are known.The developed model-based learning algorithm is consists of two learning stages:an inner reinforcement learning loop and an outer inverse optimal control loop.The inner loop desires to obtain optimal control policy via learner's cost function and the outer loop aims to update learner's state-penalty matrices via only using expert's optimal control policy.Then,to eliminate the requirement that the system dynamics must be known,a data-driven integral learning algorithm is presented.It is proved that the presented two algorithms are convergent and the developed inverse reinforcement learning optimal control scheme can ensure the controlled fuzzy learner systems to be asymptotically stable.Finally,we apply the proposed fuzzy optimal control to the truck-trailer system,and the computer simulation results verify the effectiveness of the presented approach. 展开更多
关键词 Takagi-Sugeno fuzzy systems learnerexpert framework inverse reinforcement learning algorithm optimal control
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Fuzzy adaptive finite-time inverse optimal control for active suspension systems
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作者 Zhenggang Chen Wei Wu Shaocheng Tong 《Journal of Automation and Intelligence》 2025年第4期312-320,共9页
This paper investigates the problem of fuzzy adaptive finite-time inverse optimal control for active suspension systems(ASSs).The fuzzy logic systems(FLSs)are utilized to learn the unknown non-linear dynamics and an a... This paper investigates the problem of fuzzy adaptive finite-time inverse optimal control for active suspension systems(ASSs).The fuzzy logic systems(FLSs)are utilized to learn the unknown non-linear dynamics and an auxiliary system is established.Based on the finite-time stability theory and inverse optimal theory,a fuzzy adaptive inverse finite-time inverse optimal control method is proposed.It is proven that the formulated control approach guarantees the stability of the controlled systems,while ensuring that errors converge to a small neighborhood of zero within finite time.Moreover,the optimized control performance can be achieved.Eventually,the simulation results demonstrate the effectiveness of the proposed fuzzy adaptive finite-time inverse optimal control scheme. 展开更多
关键词 Active suspension systems Inverse optimal control Finite-time control Fuzzy adaptive control
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Optimal Impulse Control and Impulse Game for Continuous-Time Deterministic Systems:A Review
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作者 Chuandong LI Wenxuan WANG 《Artificial Intelligence Science and Engineering》 2025年第3期208-219,共12页
Optimal impulse control and impulse games provide the cutting-edge frameworks for modeling systems where control actions occur at discrete time points,and optimizing objectives under discontinuous interventions.This r... Optimal impulse control and impulse games provide the cutting-edge frameworks for modeling systems where control actions occur at discrete time points,and optimizing objectives under discontinuous interventions.This review synthesizes the theoretical advancements,computational approaches,emerging challenges,and possible research directions in the field.Firstly,we briefly review the fundamental theory of continuous-time optimal control,including Pontryagin's maximum principle(PMP)and dynamic programming principle(DPP).Secondly,we present the foundational results in optimal impulse control,including necessary conditions and sufficient conditions.Thirdly,we systematize impulse game methodologies,from Nash equilibrium existence theory to the connection between Nash equilibrium and systems stability.Fourthly,we summarize the numerical algorithms including the intelligent computation approaches.Finally,we examine the new trends and challenges in theory and applications as well as computational considerations. 展开更多
关键词 optimal impulse control impulse game Pontryagin's maximum principle dynamic programming principle
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Event-Triggered Robust Parallel Optimal Consensus Control for Multiagent Systems
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作者 Qinglai Wei Shanshan Jiao +1 位作者 Qi Dong Fei-Yue Wang 《IEEE/CAA Journal of Automatica Sinica》 2025年第1期40-53,共14页
This paper highlights the utilization of parallel control and adaptive dynamic programming(ADP) for event-triggered robust parallel optimal consensus control(ETRPOC) of uncertain nonlinear continuous-time multiagent s... This paper highlights the utilization of parallel control and adaptive dynamic programming(ADP) for event-triggered robust parallel optimal consensus control(ETRPOC) of uncertain nonlinear continuous-time multiagent systems(MASs).First, the parallel control system, which consists of a virtual control variable and a specific auxiliary variable obtained from the coupled Hamiltonian, allows general systems to be transformed into affine systems. Of interest is the fact that the parallel control technique's introduction provides an unprecedented perspective on eliminating the negative effects of disturbance. Then, an eventtriggered mechanism is adopted to save communication resources while ensuring the system's stability. The coupled HamiltonJacobi(HJ) equation's solution is approximated using a critic neural network(NN), whose weights are updated in response to events. Furthermore, theoretical analysis reveals that the weight estimation error is uniformly ultimately bounded(UUB). Finally,numerical simulations demonstrate the effectiveness of the developed ETRPOC method. 展开更多
关键词 Adaptive dynamic programming(ADP) critic neural network(NN) event-triggered control optimal consensus control robust control
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Optimal Secure Control of Networked Control Systems Under False Data Injection Attacks:A Multi-Stage Attack-Defense Game Approach
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作者 Dajun Du Yi Zhang +1 位作者 Baoyue Xu Minrui Fei 《IEEE/CAA Journal of Automatica Sinica》 2025年第4期821-823,共3页
Dear Editor,The attacker is always going to intrude covertly networked control systems(NCSs)by dynamically changing false data injection attacks(FDIAs)strategy,while the defender try their best to resist attacks by de... Dear Editor,The attacker is always going to intrude covertly networked control systems(NCSs)by dynamically changing false data injection attacks(FDIAs)strategy,while the defender try their best to resist attacks by designing defense strategy on the basis of identifying attack strategy,maintaining stable operation of NCSs.To solve this attack-defense game problem,this letter investigates optimal secure control of NCSs under FDIAs.First,for the alterations of energy caused by false data,a novel attack-defense game model is constructed,which considers the changes of energy caused by the actions of the defender and attacker in the forward and feedback channels. 展开更多
关键词 designing defense strategy networked control systems ncss alterations energy networked control systems false data injection attacks fdias strategywhile false data injection attacks optimal secure control identifying attack strategymaintaining
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Optimal control of wireless energy transfer system via decreasing frequency 被引量:2
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作者 谭林林 黄学良 +1 位作者 周亚龙 赵俊峰 《Journal of Southeast University(English Edition)》 EI CAS 2013年第3期259-263,共5页
In order to solve the multiple power extreme value point problem caused by system frequency splitting during wireless energy transmission at short distances a transmission model of the system is established.With the c... In order to solve the multiple power extreme value point problem caused by system frequency splitting during wireless energy transmission at short distances a transmission model of the system is established.With the comprehensive consideration of the resonance frequency load parameters and the coupling between coils the internal factors of frequency splitting and boundary conditions are discussed.The results show that under the condition of the fixed load the higher the natural resonance frequency the easier the frequency splitting. As the frequency splitting occurs the frequency of the maximum power transfer is no longer with the natural resonance frequency which can make the system unstable and the transfer power more difficult to control. Therefore a decreasing-frequency method is proposed to avoid the system frequency splitting. And decreasing the system resonance frequency can make the system successfully withdraw the frequency splitting area at a short-distance range.Under the fixed load condition the transmission power of the system can be increased by 400% and the transmission efficiency is reduced by only 14% which greatly improves the transmission performance of the system. 展开更多
关键词 optimal control wireless energy transfer decreasing frequency
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Observer-based Adaptive Optimal Control for Unknown Singularly Perturbed Nonlinear Systems With Input Constraints 被引量:7
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作者 Zhijun Fu Wenfang Xie +1 位作者 Subhash Rakheja Jing Na 《IEEE/CAA Journal of Automatica Sinica》 SCIE EI CSCD 2017年第1期48-57,共10页
This paper introduces an observer-based adaptive optimal control method for unknown singularly perturbed nonlinear systems with input constraints. First, a multi-Time scales dynamic neural network MTSDNN observer with... This paper introduces an observer-based adaptive optimal control method for unknown singularly perturbed nonlinear systems with input constraints. First, a multi-Time scales dynamic neural network MTSDNN observer with a novel updating law derived from a properly designed Lyapunov function is proposed to estimate the system states. Then, an adaptive learning rule driven by the critic NN weight error is presented for the critic NN, which is used to approximate the optimal cost function. Finally, the optimal control action is calculated by online solving the Hamilton-Jacobi-Bellman HJB equation associated with the MTSDNN observer and critic NN. The stability of the overall closed-loop system consisting of the MTSDNN observer, the critic NN and the optimal control action is proved. The proposed observer-based optimal control approach has an essential advantage that the system dynamics are not needed for implementation, and only the measured input U+002F output data is needed. Moreover, the proposed optimal control design takes the input constraints into consideration and thus can overcome the restriction of actuator saturation. Simulation results are presented to confirm the validity of the investigated approach. © 2014 Chinese Association of Automation. 展开更多
关键词 Closed loop systems Cost functions Lyapunov functions Neural networks Nonlinear systems optimal control systems Perturbation techniques
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Optimal Control of Nonlinear Inverted Pendulum System Using PID Controller and LQR: Performance Analysis Without and With Disturbance Input 被引量:37
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作者 Lal Bahadur Prasad Barjeev Tyagi Hari Om Gupta 《International Journal of Automation and computing》 EI CSCD 2014年第6期661-670,共10页
Linear quadratic regulator(LQR) and proportional-integral-derivative(PID) control methods, which are generally used for control of linear dynamical systems, are used in this paper to control the nonlinear dynamical sy... Linear quadratic regulator(LQR) and proportional-integral-derivative(PID) control methods, which are generally used for control of linear dynamical systems, are used in this paper to control the nonlinear dynamical system. LQR is one of the optimal control techniques, which takes into account the states of the dynamical system and control input to make the optimal control decisions.The nonlinear system states are fed to LQR which is designed using a linear state-space model. This is simple as well as robust. The inverted pendulum, a highly nonlinear unstable system, is used as a benchmark for implementing the control methods. Here the control objective is to control the system such that the cart reaches a desired position and the inverted pendulum stabilizes in the upright position. In this paper, the modeling and simulation for optimal control design of nonlinear inverted pendulum-cart dynamic system using PID controller and LQR have been presented for both cases of without and with disturbance input. The Matlab-Simulink models have been developed for simulation and performance analysis of the control schemes. The simulation results justify the comparative advantage of LQR control method. 展开更多
关键词 Inverted pendulum nonlinear system proportional-integral-derivative (PID) control optimal control linear quadratic regulator (LQR)
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OPTIMAL CONTROL OF MARKOVIAN SWITCHING SYSTEMS WITH APPLICATIONS TO PORTFOLIO DECISIONS UNDER INFLATION 被引量:10
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作者 费晨 费为银 《Acta Mathematica Scientia》 SCIE CSCD 2015年第2期439-458,共20页
This article is concerned with a class of control systems with Markovian switching, in which an It5 formula for Markov-modulated processes is derived. Moreover, an optimal control law satisfying the generalized Hamilt... This article is concerned with a class of control systems with Markovian switching, in which an It5 formula for Markov-modulated processes is derived. Moreover, an optimal control law satisfying the generalized Hamilton-Jacobi-Bellman (HJB) equation with Markovian switching is characterized. Then, through the generalized HJB equation, we study an optimal consumption and portfolio problem with the financial markets of Markovian switching and inflation. Thus, we deduce the optimal policies and show that a modified Mutual Fund Theorem consisting of three funds holds. Finally, for the CRRA utility function, we explicitly give the optimal consumption and portfolio policies. Numerical examples are included to illustrate the obtained results. 展开更多
关键词 Markov optimal control generalized It6 formula HJB equations optimal portfolio three fund theorem INFLATION
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