抄録
The problem of optimally controlling a class of linear stochastic systems with noisy observations and bounded controls modeled via the Girsanov transformation. The cost functional is quadratic, and the initial state is non-Gaussian and bounded. It is shown that under a certain inequaility condition for the system matrices and the weighting matrices of the cost functional, there exists a unique optimal control which is linear in the state estimate but which is nonlinear and in particular non-Lipschitzian in the observation. It is also shown that the certainly equivalence property holds.
| 本文言語 | English |
|---|---|
| ページ（範囲） | 677-685 |
| ページ数 | 9 |
| ジャーナル | SIAM Journal on Control and Optimization |
| 巻 | 21 |
| 号 | 5 |
| 出版ステータス | Published - 1983 9月 |
| 外部発表 | はい |
ASJC Scopus subject areas
- 数学 (全般)
- 応用数学
- 制御と最適化