STRUCTURAL PROPERTIES OF THE LINEAR-QUADRATIC STOCHASTIC CONTROL PROBLEM.

Kenko Uchida

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

The problem of optimally controlling a class of linear stochastic systems with noisy observations and bounded controls modeled via the Girsanov transformation. The cost functional is quadratic, and the initial state is non-Gaussian and bounded. It is shown that under a certain inequaility condition for the system matrices and the weighting matrices of the cost functional, there exists a unique optimal control which is linear in the state estimate but which is nonlinear and in particular non-Lipschitzian in the observation. It is also shown that the certainly equivalence property holds.

Original languageEnglish
Pages (from-to)677-685
Number of pages9
JournalSIAM Journal on Control and Optimization
Volume21
Issue number5
Publication statusPublished - 1983 Sep
Externally publishedYes

ASJC Scopus subject areas

  • Mathematics(all)
  • Applied Mathematics
  • Control and Optimization

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