Finite-dimensional quasi-linear risk-sensitive control
Identifieur interne : 00D455 ( Main/Curation ); précédent : 00D454; suivant : 00D456Finite-dimensional quasi-linear risk-sensitive control
Auteurs : Lakhdar Aggoun [Nouvelle-Zélande] ; Alain Bensoussan [France] ; Robert J. Elliott [Canada] ; John B. Moore [Australie]Source :
- Systems & Control Letters [ 0167-6911 ] ; 1995.
English descriptors
- KwdEn :
- Adjoint process, Admissible control, Bensoussan, Complete filtration, Control optim, Control problem, Differential games, Dynamic games, Full state information, Ieee trans, Information state, Nonlinear, Optimal control, Recursion, Separation principle, Stochastic, Stochastic control, Stochastic control problem, Systems control letters, Value function.
- Teeft :
- Adjoint process, Admissible control, Bensoussan, Complete filtration, Control optim, Control problem, Differential games, Dynamic games, Full state information, Ieee trans, Information state, Nonlinear, Optimal control, Recursion, Separation principle, Stochastic, Stochastic control, Stochastic control problem, Systems control letters, Value function.
Abstract
Abstract: A discrete-time partially observed stochastic control problem with exponential running cost is considered. The dynamics are linear and the running cost quadratic in the state variable, but the control may enter nonlinearly. Explicit solutions for a forward Zakai equation and a backward adjoint equation are derived in terms of finite-dimensional dynamics. This enables the partially observed problem to be expressed in finite-dimensional terms and a separation principle applied.
Url:
DOI: 10.1016/0167-6911(94)00073-5
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<front><div type="abstract" xml:lang="en">Abstract: A discrete-time partially observed stochastic control problem with exponential running cost is considered. The dynamics are linear and the running cost quadratic in the state variable, but the control may enter nonlinearly. Explicit solutions for a forward Zakai equation and a backward adjoint equation are derived in terms of finite-dimensional dynamics. This enables the partially observed problem to be expressed in finite-dimensional terms and a separation principle applied.</div>
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