Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
- 1 April 1997
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 42 (4) , 482-497
- https://doi.org/10.1109/9.566658
Abstract
. This paper is concerned with partially observed stochastic optimal control problemswhen nonlinearities enter the dynamics of the unobservable state, and the observationsas gradients of potential functions. Explicit representations for the information state are derivedin terms of a finite-number of sufficient statistics. Consequently, the partially observedproblem is re-cast as one of complete information with new state generated by a modifiedversion of the Kalman filter. When the...Keywords
This publication has 15 references indexed in Scilit:
- Solvable risk-sensitive control problems with output feedbackPublished by Institute of Electrical and Electronics Engineers (IEEE) ,2002
- Partially observable nonlinear risk-sensitive control problems: dynamic programming and verification theoremsIEEE Transactions on Automatic Control, 1997
- Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositionsStochastics and Stochastic Reports, 1996
- General finite-dimensional risk-sensitive problems and small noise limitsIEEE Transactions on Automatic Control, 1996
- Stochastic Control of Partially Observable SystemsPublished by Cambridge University Press (CUP) ,1992
- On the Relation of Zakai’s and Mortensen’s EquationsSIAM Journal on Control and Optimization, 1983
- Exact finite-dimensional filters for certain diffusions with nonlinear driftStochastics, 1981
- Stochastic Systems: The Mathematics of Filtering and Identification and ApplicationsPublished by Springer Nature ,1981
- Wiener Integrals Associated with Diffusion ProcessesTheory of Probability and Its Applications, 1968
- Stochastic Optimal Control with Noisy Observations †International Journal of Control, 1966