Classes of Nonlinear Partially Observable Stochastic Optimal Control Problems with Explicit Optimal Control Laws

DOI10.1137/S0363012995287326MaRDI QIDQ4388923zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Charalambos D. Charalambous

Publication date 10 May 1998

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012995287326

zbMATH Keywords

exact optimal controlsnonlinear filteringpartially observable stochastic controlrisk-sensitivesector bounded nonlinearitiesstochastic control

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Cited in

(11)

• New explicit filters and smoothers for diffusions with nonlinear drift and measurements
• On the application of minimum principle for solving partially observable risk-sensitive control problems
• Connections between stochastic control and dynamic games
• An efficient numerical algorithm for solving data driven feedback control problems
• On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems
• scientific article; zbMATH DE number 3952641 (Why is no real title available?)
• Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
• Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
• A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
• Assimilating partial observation to enhance feedback control of stochastic dynamical systems
• Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case

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