Optimal control of nonlinear probabilistic systems on the basis of an incomplete state vector
type: Item
instance of: scholarly article
title: Optimal control of nonlinear probabilistic systems on the basis of an incomplete state vector
zbMATH Open document ID: 0543.93074
author: N. E. Zubov
published in: Automation and Remote Control
publication date: 1984-01-01T00:00:00Z
review text: The authors consider the optimal control of a partially observed stochastic system. The control functions are piecewise continuous in t for each value of the observed components and it is assumed that probability densities of the state process exist. Thus, the problem is reduced to discussing the optimal control of the Fokker-Planck equation. It is shown that an optimal control will maximize a certain Hamiltonian and a form of Bellman's equation is obtained for the optimum cost. The results are illustrated by considering the linear quadratic case.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 93C10
zbMATH DE Number: 3865130
zbMATH Keywords: linear quadratic problem
zbMATH Keywords: partially observed stochastic system
zbMATH Keywords: Fokker- Planck equation
zbMATH Keywords: Bellman's equation
reviewed by: Robert J. Elliott
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 3865130