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
fDate :
10/1/1981 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1981.1102781
