Necessary conditions for partially observed diffusions

Author

Charalambous, Charalambos D. ; Hibey, Joseph L.

Author_Institution

Dept. of Electr. & Comput. Eng., Old Dominion Univ., Norfolk, VA, USA

fYear

1993

fDate

15-17 Dec 1993

Firstpage

843

Abstract

We present a new approach to deriving necessary conditions for stochastic partially observed control problems when the control enters the drift coefficient, and correlation between signal and observation noise is allowed. The problem is formulated as one of complete information but, instead of considering the unnormalized conditional density of nonlinear filtering, using Kunita´s decomposition this equation is decomposed into two measure-valued processes. The minimum principle and the stochastic partial differential equation satisfied by the adjoint process, are then derived, and are shown to be the exact necessary conditions when the correlation is zero

Keywords

control system analysis; minimum principle; optimal control; partial differential equations; stochastic systems; drift coefficient; minimum principle; necessary conditions; observation noise; partially observed diffusions; stochastic partial differential equation; stochastic partially observed control; Algebra; Density measurement; Influenza; Information filtering; Information filters; Nonlinear equations; Partial differential equations; Q measurement; Stochastic processes; Stochastic resonance;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on

Conference_Location

San Antonio, TX

Print_ISBN

0-7803-1298-8

Type

conf

DOI

10.1109/CDC.1993.325030

Filename

325030