Sensor scheduling in continuous time

Let N be the number of available sensor sources. Noisy observations of an u nderlying state process are available for these N sources. We consider the continuous time sensor scheduling problem in which N, of these N sources ar e to be chosen to collect data at each time point. This sensor scheduling p roblem (with switching costs and switching constraints) is formulated as a constrained optimal control problem. In this framework, the controls repres ent the sensors that are chosen at a particular time. Thus, the control var iables are constrained to take values in a discrete set, and switchings bet ween sensors can occur in continuous time. By incorporating recent results on discrete valued optimal control, we show that this problem can be transf ormed into an equivalent continuous optimal control problem. In this way, w e obtain the sensor scheduling policy as well as the associated switching t imes. (C) 2001 Elsevier Science Ltd. All rights reserved.