Linearly-quadratic problem of stochastic control (Q1175869)

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Linearly-quadratic problem of stochastic control
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    Linearly-quadratic problem of stochastic control (English)
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    25 June 1992
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    The authors consider a stochastic control problem of a partially observable discrete time linear system with additive state and output noises and a quadratic cost criterion. A control strategy nonlinear in outputs is constructed, which is optimal in the class of feedbacks linear in observations.
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    stochastic control problem
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    partial observable discrete time linear system with additive states
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