Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems (Q4339717)
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scientific article; zbMATH DE number 1021887
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| English | Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems |
scientific article; zbMATH DE number 1021887 |
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Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems (English)
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10 November 1997
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LEQG
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LQG
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risk-sensitive
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partially observed stochastic optimal control
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separation theorem
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nonlinear filters
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0.937020182609558
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0.8388088941574097
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0.8381949067115784
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0.8352792859077454
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This paper is concerned with partially observed stochastic optimal control problems, when nonlinearities enter the dynamics of the unobservable state and the observations as gradients of potential functions. (1) The authors derived appropriate conditions so that the information state is confined to a manifold expressed in terms of a finite number of sufficient statistics and they established the separation theorem for general classes of nonlinear systems. (2) Consequently, the partially observed problems is recast as one of complete information with a new state generated by a correlated nonlinear filter. (3) They showed that their control systems are equivalent to either linear-exponential-quadratic-Gaussian or linear-quadratic-Gaussian tracking problems and computed the optimal control laws explicitly.
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