Examples of optimal controls for linear stochastic control systems with partial observation

DOI10.1080/17442508708833477zbMath0611.93070OpenAlexW1992388104MaRDI QIDQ3752283

Ulrich G. Haussmann

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833477

zbMATH Keywords

linear regulatorlinear partially observed stochastic control problemspredicted miss problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Cites Work

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• Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
• Semimartingales: A course on stochastic processes
• A conditionally almost linear filtering problem with non-gaussian initial condition^∗
• Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work
• Optimal control for a class of partially observable systems^†
• On the Separation Theorem of Stochastic Control

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