Optimal control and data processing in continuous time (linear system and quadratic functional)

MaRDI QIDQ1155023zbMATH OpenFDO

Authors N. Kuznetsov, L. Sh. Liptser, A. P. Serebrovskij

Publication date 1980

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

optimal control with incomplete dataquadratic performance criterion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Cited in

(2)

• Hybrid method for a general optimal sensor scheduling problem in discrete time
• A ``direct method to prove the generalized Itô-Venttsel' formula for a generalized stochastic differential equation

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