Examples of optimal controls for linear stochastic control systems with partial observation

DOI10.1080/17442508708833477zbMATH Open0611.93070OpenAlexW1992388104MaRDI QIDQ3752283FDOQ3752283

Authors: Ulrich G. Haussmann 

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833477

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zbMATH Keywords

linear regulatorlinear partially observed stochastic control problemspredicted miss problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Cites Work

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• On the Separation Theorem of Stochastic Control
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• Semimartingales: A course on stochastic processes
• Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work
• Optimal control for a class of partially observable systems^†
• Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
• A conditionally almost linear filtering problem with non-gaussian initial condition^∗

Cited In (11)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimality for the linear quadratic non-Gaussian problem via the asymmetric Kalman filter
• Filtering method for linear and non-linear stochastic optimal control of partially observable systems
• Title not available (Why is that?)
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic Linear-Quadratic Optimal Control with Partial Observation
• Measure change techniques in optimal control
• Practical implementation of the solution of the stabilization problem for a linear system with discontinuous random drift by indirect observations

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