STRUCTURAL PROPERTIES OF THE LINEAR-QUADRATIC STOCHASTIC CONTROL PROBLEM.

Kenko Uchida*

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語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
5
出版ステータスPublished - 1983 9
外部発表はい

ASJC Scopus subject areas

  • 数学 (全般)
  • 応用数学
  • 制御と最適化

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。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル