Title :
Stochastic control with partial information
Author_Institution :
INRIA, Domaine de Voluceau, Le Chesnay, France
Abstract :
The main topics in the area of stochastic control with partial information are reviewed. These topics are the linear quadratic Gaussian model; the linear exponential Gaussian model, the Zakai and Kushner equations, the exact solutions of Zakai and Kushner equations: the separation principle; the stochastic maximum principle in the context of partial information; dynamic programming in the context of partial information; and existence theory
Keywords :
optimal control; reviews; stochastic systems; Kushner equations; Zakai equations; dynamic programming; exact solutions; existence theory; linear exponential Gaussian model; linear quadratic Gaussian model; partial information; separation principle; stochastic control; stochastic maximum principle; Board of Directors; Context modeling; Cost function; Dynamic programming; Equations; Filtering theory; Game theory; Nonlinear equations; Partial differential equations; Stochastic processes; Testing;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371433
