Examples of optimal controls for linear stochastic control systems with partial observation
- 1 November 1987
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 22 (3) , 289-323
- https://doi.org/10.1080/17442508708833477
Abstract
Three linear partially observed stochastic control problems (the linear regulator problem, the predicted miss problem and the rotationally invariant problem) are solved. Recent advances in linear filtering theory with non-Gaussian initial conditions allow us to dispense with the usual hypothesis that the distribution of the initial state be Gaussian. The method is classical:filter and then solve the separated problem (which is now more complicatedKeywords
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