Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
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Publication:3693413
DOI10.1137/0323038zbMath0574.93067OpenAlexW2058397079MaRDI QIDQ3693413
Jan H. van Schuppen, Alain Bensoussan
Publication date: 1985
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/6565
Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Brownian motion (60J65) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)
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