The solution of a partially observed stochastic optimal control problem in terms of predicted miss

1 January 1992

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

Vol. 37 (9) , 1462-1464
https://doi.org/10.1109/9.159594

Abstract

The explicit solution of a partially observed LQ problem driven by a combination of a Wiener process and an unobserved finite-state jump Markov process is given. Applications of the model include guidance problems, where the jump Markov process models evasive maneuvers (acceleration values) of the target, or systems subject to a sequence of failures that can be modeled by a jump Markov process.

Keywords

STOCHASTIC PROCESSES
OPTIMAL CONTROL
POLYNOMIALS
AUTOMATIC CONTROL
CIRCUIT STABILITY
MARKOV PROCESSES
ADAPTIVE CONTROL
DIFFERENTIAL EQUATIONS
ROBUSTNESS
CONTROL SYSTEMS

This publication has 2 references indexed in Scilit:

Optimal adaptive LQG control for systems with finite state process parameters
IEEE Transactions on Automatic Control, 1985
Deterministic and Stochastic Optimal Control
Published by Springer Nature ,1975