Title :
Joint estimation and control for a class of stochastic dynamic teams
Author :
Bansal, Rajesh ; Basar, Tamer
Author_Institution :
Coordinated Sci. Lab., Illinois Univ., Urbana, IL, USA
Abstract :
The authors formulate and solve an infinite-horizon stochastic optimization problem where both the control and the measurement strategies are to be designed simultaneously, under a quadratic performance index. The complete solution to the infinite-horizon problem is provided, the existence of optimal stationary policies is established, and an algorithm for the numerical computation of these policies is given. Thus linear stationary policies are overall optimal and can be obtained from the solution of an infinite-horizon nonlinear deterministic optimal control problem
Keywords :
identification; optimal control; optimisation; performance index; stochastic systems; deterministic optimal control; infinite-horizon stochastic optimization problem; linear stationary policies; nonlinear control; quadratic performance index; stochastic dynamic teams; stochastic systems; Coordinate measuring machines; Design optimization; Infinite horizon; Markov processes; Mathematical model; Optimal control; Performance analysis; Random variables; Stochastic processes; Time measurement;
Conference_Titel :
Decision and Control, 1988., Proceedings of the 27th IEEE Conference on
Conference_Location :
Austin, TX
DOI :
10.1109/CDC.1988.194664
