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
Online-Zugang:	Volltext
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