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
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;
Conference_Titel :
American Control Conference, 1997. Proceedings of the 1997
Conference_Location :
Albuquerque, NM
Print_ISBN :
0-7803-3832-4
DOI :
10.1109/ACC.1997.611835
