On the Separation Theorem of Stochastic Control

Cited In (only showing first 100 items - show all)

Constrained minimum variance control for discrete-time stochastic linear systems
Separation theorem for linearly constrained LQG optimal control
A partial history of the early development of continuous-time nonlinear stochastic systems theory
Stochastic linear quadratic control problem of switching systems with constraints
Separation of estimation and control for decentralized stochastic control systems
Linear-quadratic-Gaussian mean-field-game with partial observation and common noise
Optimal control of linear stochastic systems with applications to time lag systems
Optimal in the mean control of deterministic switchable systems given discrete inexact measurements
On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems
Solutions to a class of linear-quadratic-Gaussian (LQG) stochastic team problems with nonclassical information
The stochastic linear quadratic control problem with singular estimates
A separation principle for the \(H_{2}\)-control of continuous-time infinite Markov jump linear systems with partial observations
Delayed optimal control of stochastic LQ problem
Stochastic maximum principle for distributed parameter systems
Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case
Distributed output feedback control of Markov jump multi-agent systems
A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information
Infinite horizon indefinite stochastic linear quadratic control for discrete-time systems
Optimal sensor and controller allocation for a class of distributed parameter systems
Filtering and control performance bounds with implications on asymptotic separation
Information states for linear stochastic systems
Deterministic least squares filtering.
The simple pendulum and the periodic LQG control problem
Design of steady-state minimum variance controllers
Optimal quadratic solution for the non-Gaussian finite-horizon regulator problem
A maximum principle for partially observed optimal control of forward-backward stochastic control systems
Infinite horizon linear quadratic optimal control for stochastic difference time-delay systems
Specific-optimal control with a dual minimal-order observer-based compensator
The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach
An efficient numerical algorithm for solving data driven feedback control problems
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control
On stochastic Riccati equations for the stochastic LQR problem
A stochastic optimal control approach to a class of production and inventory problems
Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
Information exchange between independent stochastic systems
Martingale conditions for the optimal control of continuous time stochastic systems
Optimal stochastic control
Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
Optimal control of linear stochastic systems described by functional differential equations
Stochastic sensitivity synthesis in nonlinear systems with incomplete information
Optimal and suboptimal control of bundle of trajectories of deterministic logical-dynamical systems
On optimal correction problems with partial information
Stabilization of linear systems with multiplicative perturbations and incomplete information
Optimal control problem of backward stochastic differential delay equation under partial information
On unified concepts of detectability and observability for continuous-time stochastic systems
Optimal stochastic control for discrete-time linear system with interrupted observations
A partial information non-zero sum differential game of backward stochastic differential equations with applications
Stochastic linear quadratic optimal control with constraint for discrete-time systems
Separation theorem in control problems for bundles of trajectories of deterministic linear switchable systems
Backward stochastic differential equations and applications to optimal control
Caution and probing in stochastic control†
Generalized differential Riccati equation and indefinite stochastic LQ control with cross term
Detectability and observability of discrete-time stochastic systems and their applications
Application of Monte Carlo method to optimal control for linear systems under measurement noise with Markov dependent statistical property
Optimal information acquisition for a linear quadratic control problem
A separation theorem for guaranteed \(H_2\) performance through matrix inequalities
Optimal measurement policies for control purposes
On estimation in interception endgames
Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon
Optimal premium policy of an insurance firm: full and partial information
Controlling the equilibria of nonlinear stochastic systems based on noisy data
A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces
Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
Problems of identification and control
Further results on asset pricing with incomplete information
Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients
Optimization of output feedback control under set-membership uncertainty
Optimal and suboptimal control over bunches of trajectories of automaton-type deterministic systems
Second-law-like inequalities with information and their interpretations
A survey of some recent results in linear multivariable feedback theory
General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance
A nonlinear partially observed differential game with a finite-dimensional information state
Kalman 1960: the birth of modern system theory
Suboptimal on average satellite attitude control in the presence of discrete inaccurate measurements
A quasi-separation theorem for LQG optimal control with IQ constraints
Linear filtering for wide band noise driven observation systems
A stochastic regulator using a certainty equivalence control with a nonlinear filter for processing hard limited data
Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters
Direct solution to the general reduced-order stochastic observation problem
Decentralized social-optimal solution of finite number of average field linear quadratic control
Optimal stabilizing compensator for linear systems under white noise perturbations
Solution of a class of stochastic linear-convex control problems using deterministic equivalents
Separation theorem for average optimal control for hybrid systems of variable dimension
On the periodic coordination of linear stochastic systems
Indefinite stochastic optimal LQR control with cross term under IQ constraints.
Partially observed multi-player stochastic differential games under directed graphs
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
Optimal investment management for a defined contribution pension fund under imperfect information
Suboptimal adaptive control of a class of non-linear systems†
A separation theorem for the stochastic sampled-data LQG problem
On the closed loop Nash equilibrium strategy for a class of sampled data stochastic linear quadratic differential games
Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
Incomplete observation, filtering, and the home bias puzzle
On certainty equivalence of stochastic optimal control problem
Two-armed restless bandits with imperfect information: stochastic control and indexability
Separation principle for impulse control with partial information
Kalman filter for controlled hybrid systems
Indefinite stochastic LQ control with cross term via semidefinite programming

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