On the optimal control of stochastic linear systems with contaminated partial observations

On the optimal control of stochastic linear systems with contaminated partial observations

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Article ID: iaor2002508
Country: Spain
Volume: 5
Issue: 1
Start Page Number: 143
End Page Number: 158
Publication Date: Jan 1997
Journal: TOP
Authors:
Abstract:

Partial information for stochastic control systems with state equations linear in the input are considered. The observation noise process is independent Gaussian and the case of ϵ-contamination is treated. A robustified version of the Kalman filter gives the update state in the contaminated observations case. The optimal control is obtained and for the quadratic cost a closed solution is given.

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