Optimal active decision making for control

Abstract

The paper deals with a general formulation of the optimal active change detection and control problem for stochastic systems, which includes several design problems as special cases. The special case treated in this paper can be characterized as a decision making problem where decisions are transformed into inputs of a system and the aim is to control the system. The utilization of the general formulation naturally leads to an optimal solution that makes use of the closed loop information processing strategy. Since the optimal solution is computationally intractable, the paper also discusses some approximate design techniques available for obtaining a feasible active generator for a given controller. The results are illustrated in a numerical example.