Title :
Remarks on the separation principle
Author_Institution :
Univ. Paris Dauphine, France
Abstract :
The objective of the paper is to extend the applicability of the separation principle to the case of nonsmooth feedbacks, by allowing an extension of the concept of admissible controls. Topics covered in the paper include: the Bellman equation; solution of the separated problem; and a new definition of the problem of optimal stochastic control with partial information
Keywords :
Kalman filters; feedback; matrix algebra; optimal control; stochastic processes; stochastic systems; Bellman equation; admissible controls; nonsmooth feedbacks; optimal stochastic control; partial information; separation principle; Control systems; Cost function; Covariance matrix; Discrete wavelet transforms; Feedback; Optimal control; Q measurement; Riccati equations; Stochastic processes; Technological innovation;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325873
