On certainty equivalence in linear-quadratic control problems with nonlinear measurements

Kenko Uchida, Etsujiro Shimemura

    Research output: Contribution to journalArticle

    2 Citations (Scopus)

    Abstract

    The certainty equivalence property is investigated in the framework of stochastic control problems with linear continuous time state models and a quadratic cost. The objective is to show that some nonlinear measurements admit the certainty equivalence property to hold with only mild assumptions on stochastic properties (e.g., square integrability) of the initial state, the process noise and the measurements noise. As the classes of nonlinear measurements, we consider the additive type, the multiplicative type, the continuous time version of Curry's type and the data processor.

    Original languageEnglish
    Pages (from-to)119-135
    Number of pages17
    JournalInformation and control
    Volume41
    Issue number2
    DOIs
    Publication statusPublished - 1979

    ASJC Scopus subject areas

    • Engineering(all)

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