Examples of optimal controls for linear stochastic control systems with partial observation

DOI10.1080/17442508708833477MaRDI QIDQ3752283zbMATH OpenOpenAlexFDO

Authors Ulrich G. Haussmann

Publication date 1987

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508708833477

zbMATH Keywords

linear partially observed stochastic control problemslinear regulatorpredicted miss problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear systems in control theory (93C05) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Cites work

• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
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• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• On the Separation Theorem of Stochastic Control
• Optimal control for a class of partially observable systems^†
• Semimartingales: A course on stochastic processes
• Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work

Cited in

(16)

• A transformation method for stochastic control problems with partial observations
• On the optimal control of stochastic linear systems with contaminated partial observations
• Practical implementation of the solution of the stabilization problem for a linear system with discontinuous random drift by indirect observations
• scientific article; zbMATH DE number 4200128 (Why is no real title available?)
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• scientific article; zbMATH DE number 4023182 (Why is no real title available?)
• scientific article; zbMATH DE number 4035700 (Why is no real title available?)
• scientific article; zbMATH DE number 4045619 (Why is no real title available?)
• scientific article; zbMATH DE number 4089447 (Why is no real title available?)
• scientific article; zbMATH DE number 515518 (Why is no real title available?)
• Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
• Optimality for the linear quadratic non-Gaussian problem via the asymmetric Kalman filter
• Filtering method for linear and non-linear stochastic optimal control of partially observable systems
• Measure change techniques in optimal control
• Stochastic Linear-Quadratic Optimal Control with Partial Observation
• Optimal control of LQ problem with anticipative partial observations

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