Optimal control for a class of partially observed bilinear stochastic systems
Proceedings of the 29th IEEE Conference on Decision and Control, IEEE 1990
1416 - 1417
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An alternative formulation is presented for a class of partially observed bilinear stochastic control problems which is described by three sets of stochastic differential equations: one for the system to be controlled, one for the observer, and one for the control process which is driven by the observation process. With this formulation, the stochastic control problem is converted to an equivalent deterministic identification problem of control gain matrices. Using standard variation arguments, the necessary conditions of optimality on the basis of which the optimal control parameters can be determined are obtained.
KeywordsNonlinear control systems
Optimal control systems
Partially observed systems
Stochastic differential equations
Published Version (Please cite this version)https://doi.org/10.1109/CDC.1990.203844
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