Almost sure optimality and optimality in probability for stochastic linear-quadratic regulator with partial information

DOI10.1080/17442500008834241zbMath0989.93094OpenAlexW1996497869MaRDI QIDQ4955494

Barbara Trivellato

Publication date: 7 May 2001

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500008834241

zbMATH Keywords

infinite time horizonaverage costasymptotically optimal almost surelyKalman filter estimatespartially observed linear-quadratic regulators

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

Cites Work

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• The Riccati equation
• Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon
• The controlled diffusion process model: conditions for asymptotic optimality in probability and almost sure asymptotic optimality
• On almost sure optimization for stochastic control systems

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