• DocumentCode
    820200
  • Title

    Generalized certainty equivalence and dual effect in stochastic control

  • Author

    Tse, Edison ; Bar-Shalom, Yaakov

  • Author_Institution
    Stanford University, Stanford, CA, USA
  • Volume
    20
  • Issue
    6
  • fYear
    1975
  • fDate
    12/1/1975 12:00:00 AM
  • Firstpage
    817
  • Lastpage
    819
  • Abstract
    This correspondence presents a generalized formulation of the certainty equivalence property for an arbitrary stochastic control problem. Using the definition of dual effect as introduced in earlier works, further results on the interrelation between dual effect and certainty equivalence property are obtained.
  • Keywords
    Nonlinear systems, stochastic discrete-time; Optimal stochastic control; Stochastic optimal control; Contracts; Control systems; Costs; Noise measurement; Optimal control; Statistics; Stochastic processes; Stochastic resonance; Stochastic systems; White noise;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1975.1101108
  • Filename
    1101108
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=820200