Optimal control of partially observed systems with arbitrary dependent noises: linear quadratic case

Optimal control of partially observed systems with arbitrary dependent noises: linear quadratic case

This paper deals with linear quadratic optimal control problem when signal and observation noises can be dependent. It is proved the separation principle for such case and it is shown how this separation principle enlarges the well-known duality between control and estimation problems. There are giv...

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Veröffentlicht in:Stochastics 1986-05, Vol.17 (3), p.163-205
1. Verfasser: Bashirov, A. E.
Format: Artikel
Sprache:eng
Schlagworte:
Applied sciences
Computer science
control theory
systems
Control theory. Systems
evolution equation
Exact sciences and technology
Linear quadratic problem
mild solutions
Optimal control
separation theorem
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creator Bashirov, A. E.
description This paper deals with linear quadratic optimal control problem when signal and observation noises can be dependent. It is proved the separation principle for such case and it is shown how this separation principle enlarges the well-known duality between control and estimation problems. There are given existence results for three cases of the relations between signal and observation noises. One of them is a well-known independent noises case. Others concern the dependent noises.
doi_str_mv 10.1080/17442508608833389
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source Taylor & Francis Journals Complete
subjects Applied sciences
Computer science
control theory
systems
Control theory. Systems
evolution equation
Exact sciences and technology
Linear quadratic problem
mild solutions
Optimal control
separation theorem
title Optimal control of partially observed systems with arbitrary dependent noises: linear quadratic case
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