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A minimum principle for stochastic control problems with output feedback

โœ Scribed by Huibert Kwakernaak

Publisher
Elsevier Science
Year
1981
Tongue
English
Weight
240 KB
Volume
1
Category
Article
ISSN
0167-6911

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โœฆ Synopsis

A minimum principle for stochastic control problems with output feedback is derived by applying Bismut's minimum principle for stochastic control problems with full information about the past to the Kushner-Stratonovitch equation describing the controlled evolution of the conditional density of the state. The well-known solution of the linear-quadratic Gaussian problem is obtained from the principle. Kgr~ords: Stochastic differential equations, Minimum principle, Output feedback, Stochastic optimal control.

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