Title :
Some properties of solutions to linear-exponential-Gaussian problems
Author :
Ishihara, Tadashi ; Abe, Ken Ichi ; Takeda, Hiroshi
Author_Institution :
Tohoku University, Aramaki, Aoda, Sendai, Japan
fDate :
4/1/1979 12:00:00 AM
Abstract :
In this correspondence, it is shown that the optimal control gains for the linear-exponential-Gaussian (LEG) problem can be computed without the "future observation program" at each time step. Furthermore, the connection between the closed-loop Optimal (CLO) control and the open-loop feedback optimal (OLFO) control is discussed.
Keywords :
Linear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Automatic control; Control systems; Costs; Feedback; Leg; Open loop systems; Optimal control; Random variables; Statistics; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1979.1101974
