On the equivalence between optimal stochastic control and open-loop feedback control
- 1 July 1984
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 40 (1) , 193-200
- https://doi.org/10.1080/00207178408933267
Abstract
The paper is concerned with the question ‘ when is suboptimal open-loop feedback (OLF) control identical to optimal stochastic control ? ’ A lemma about equivalence between the two controls is formulated and used to obtain sufficient conditions for the equivalence in linear quadratic (LQ) problems. It is then shown that the equivalence exists in a generalized class of LQ gaussian (LQG) problems and also in a class of LQ problems having generalized disturbances and complete state information. An introductory section emphasizes the significance of information structure and provides a notation for its discussion in stochastic control problems.Keywords
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