Generalized certainty equivalence and dual effect in stochastic control

1 December 1975

journal article
Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control

Vol. 20 (6) , 817-819
https://doi.org/10.1109/tac.1975.1101108

Abstract

This correspondence presents a generalized formulation of the certainty equivalence property for an arbitrary stochastic control problem. Using the definition of dual effect as introduced in earlier works, further results on the interrelation between dual effect and certainty equivalence property are obtained.

Keywords

STOCHASTIC PROCESSES
OPTIMAL CONTROL
CONTROL SYSTEMS
STOCHASTIC RESONANCE
STATISTICS
STOCHASTIC SYSTEMS
WHITE NOISE
COSTS
NOISE MEASUREMENT
CONTRACTS

This publication has 3 references indexed in Scilit:

On certainty equivalence of stochastic optimal control problem
International Journal of Control, 1975
Dual effect, certainty equivalence, and separation in stochastic control
IEEE Transactions on Automatic Control, 1974
Separability, neutrality and certainty equivalence†
International Journal of Control, 1971