Optimal control for a class of partially observed bilinear stochastic systems

Date
1990
Advisor
Instructor
Source Title
Proceedings of the 29th IEEE Conference on Decision and Control, IEEE 1990
Print ISSN
0191-2216
Electronic ISSN
Publisher
IEEE
Volume
Issue
Pages
1416 - 1417
Language
English
Type
Conference Paper
Journal Title
Journal ISSN
Volume Title
Abstract

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.

Course
Other identifiers
Book Title
Keywords
Nonlinear control systems, Optimal control systems, Mathematical techniques, Bilinear systems, Deterministic identification, Partially observed systems, Stochastic differential equations, Stochastic systems
Citation
Published Version (Please cite this version)