Optimal control for a class of partially observable systems†
- 1 January 1982
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 8 (1) , 17-38
- https://doi.org/10.1080/17442508208833225
Abstract
A continuous time stochastic system with linear dynamics and linear observation equation has to be steered in such a way that the current predicted miss distance of the state to a given hyperplane, evaluated by some cost functional over a finite time interval, is minimized. it is shown that in the class of all controls taking values in the unit cube and depending only on the past of the observation process, the optimal control is bang-bang and that the separation and certainty equivalence principles holdKeywords
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