Linearly-quadratic problem of stochastic control (Q1175869)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linearly-quadratic problem of stochastic control |
scientific article |
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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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