DocumentCode
313701
Title
New finite-dimensional stochastic optimal control problems
Author
Charaiambous, C.D. ; Elliott, Robert J.
Author_Institution
Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada
Volume
1
fYear
1997
fDate
4-6 Jun 1997
Firstpage
435
Abstract
The paper is concerned with partially observed stochastic optimal control problems. The states of the system are described by nonlinear controlled diffusion equations. The measurements are noisy linear combinations of the state, and the rate of change of the state of the system. Explicit representations for the information state are derived in terms of a finite-number of sufficient statistics. This allows application of the Wonham (1968) classical separation theorem
Keywords
diffusion; multidimensional systems; nonlinear control systems; optimal control; stochastic systems; Wonham classical separation theorem; finite-dimensional stochastic optimal control problems; information state; noisy linear combinations; nonlinear controlled diffusion equations; sufficient statistics; Control systems; Cost function; Filtering; Nonlinear control systems; Nonlinear equations; Optimal control; Riccati equations; State-space methods; Stochastic processes; Stochastic systems;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference, 1997. Proceedings of the 1997
Conference_Location
Albuquerque, NM
ISSN
0743-1619
Print_ISBN
0-7803-3832-4
Type
conf
DOI
10.1109/ACC.1997.611835
Filename
611835
Link To Document