CLASSES OF NONLINEAR PARTIALLY OBSERVABLE STOCHASTIC OPTIMAL-CONTROL PROBLEMS WITH EXPLICIT OPTIMAL-CONTROL LAWS

Authors
CHARALAMBOUS CD ELLIOTT RJ
Citation
Cd. Charalambous et Rj. Elliott, CLASSES OF NONLINEAR PARTIALLY OBSERVABLE STOCHASTIC OPTIMAL-CONTROL PROBLEMS WITH EXPLICIT OPTIMAL-CONTROL LAWS, SIAM journal on control and optimization, 36(2), 1998, pp. 542-578
Citations number
21
Categorie Soggetti
Mathematics,"Robotics & Automatic Control",Mathematics,"Robotics & Automatic Control
Journal title
SIAM journal on control and optimization → ACNP
ISSN journal
03630129
Volume
36
Issue
2
Year of publication
1998
Pages
542 - 578
Database
ISI
SICI code
0363-0129(1998)36:2<542:CONPOS>2.0.ZU;2-8
Abstract
This paper introduces certain nonlinear partially observable stochasti c optimal control problems which are equivalent to completely observab le control problems with finite-dimensional state space. In some cases the optimal control laws are analogous to linear-exponential-quadrati c-Gaussian and linear-quadratic-Gaussian tracking problems. The proble ms discussed allow nonlinearities to enter the unobservable dynamics a s gradients of potential functions. The methodology is based on explic it solutions of a modified Duncan-Mortensen-Zakai equation.