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

DOI10.1080/17442508708833477MaRDI QIDQ3752283zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• scientific article; zbMATH DE number 4045619
• scientific article; zbMATH DE number 4023182
• Stochastic Linear-Quadratic Optimal Control with Partial Observation
• Optimal control of observations in the filtering of diffusion processes. I
• Linear-quadratic problem of stochastic control. II: The separation problem

Cites work

• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
• Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
• On the Separation Theorem of Stochastic Control
• Optimal control for a class of partially observable systems^†
• Semimartingales: A course on stochastic processes
• Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work

Cited in

(12)

• Practical implementation of the solution of the stabilization problem for a linear system with discontinuous random drift by indirect observations
• Stochastic Linear-Quadratic Optimal Control with Partial Observation
• Filtering method for linear and non-linear stochastic optimal control of partially observable systems
• scientific article; zbMATH DE number 4035700 (Why is no real title available?)
• Measure change techniques in optimal control
• Optimal control of LQ problem with anticipative partial observations
• scientific article; zbMATH DE number 4045619 (Why is no real title available?)
• scientific article; zbMATH DE number 4023182 (Why is no real title available?)
• Optimality for the linear quadratic non-Gaussian problem via the asymmetric Kalman filter
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• scientific article; zbMATH DE number 4089447 (Why is no real title available?)
• scientific article; zbMATH DE number 515518 (Why is no real title available?)

This page was built for publication: Examples of optimal controls for linear stochastic control systems with partial observation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3752283)