STRUCTURAL PROPERTIES OF THE LINEAR-QUADRATIC STOCHASTIC CONTROL PROBLEM.

Kenko Uchida

研究成果: Article

1 引用 (Scopus)

抜粋

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.

元の言語English
ページ(範囲)677-685
ページ数9
ジャーナルSIAM Journal on Control and Optimization
21
発行部数5
出版物ステータスPublished - 1983 9
外部発表Yes

ASJC Scopus subject areas

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

フィンガープリント STRUCTURAL PROPERTIES OF THE LINEAR-QUADRATIC STOCHASTIC CONTROL PROBLEM.' の研究トピックを掘り下げます。これらはともに一意のフィンガープリントを構成します。

  • これを引用