• DocumentCode
    837010
  • Title

    The certainty equivalence property in stochastic control theory

  • Author

    Van De Water, Henk ; Willems, Jan C.

  • Author_Institution
    University of Groningen, Groningen, The Netherlands
  • Volume
    26
  • Issue
    5
  • fYear
    1981
  • fDate
    10/1/1981 12:00:00 AM
  • Firstpage
    1080
  • Lastpage
    1087
  • Abstract
    In this paper we will give a general formulation of the certainty equivalence principle for stochastic optimal control problems. Special attention is paid to the question: "What do we mean by a certainty equivalence control law?" It is then shown that in this context the LQG-problem is indeed certainty equivalent.
  • Keywords
    Linear quadratic Gaussian (LQG) control; Optimal stochastic control; Stochastic optimal control; Uncertain systems; Control systems; Control theory; Decision making; Dynamic programming; Extraterrestrial measurements; Helium; Optimal control; Stochastic processes; Uncertainty; Yttrium;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1981.1102781
  • Filename
    1102781
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=837010