Browsing by Author "Elliott, R. J."
Now showing items 1-7 of 7
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Article
Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
Charalambous, Charalambos D.; Elliott, R. J. (1997)This paper is concerned with partially observed stochastic optimal control problems when nonlinearities enter the dynamics of the unobservable state and the observations as gradients of potential functions. Explicit ...
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Article
Classes of nonlinear partially observable stochastic optimal control problems with explicit optimal control laws
Charalambous, Charalambos D.; Elliott, R. J. (1998)This paper introduces certain nonlinear partially observable stochastic optimal control problems which are equivalent to completely observable control problems with finite-dimensional state space. In some cases the optimal ...
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Article
Conditional moment generating functions for integrals and stochastic integrals
Charalambous, Charalambos D.; Elliott, R. J.; Krishnamurthy, V. (2003)In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...
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Article
Finite-dimensional nonlinear output feedback dynamic games and bounds for sector nonlinearities
Charalambous, Charalambos D.; Elliott, R. J. (1999)In general, nonlinear output feedback dynamic games are infinite-dimensional. This paper treats a class of minimax games when the nonlinearities enter the dynamics of the unobservable states. An information state approach ...
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Information states in stochastic control and filtering: a lie algebraic theoretic approach
Charalambous, Charalambos D.; Elliott, R. J. (2000)The purpose of this paper is twofold: i) to introduce the sufficient statistic algebra which is responsible for propagating the sufficient statistics, or information state, in the optimal control of stochastic systems and ...
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Article
New explicit filters and smoothers for diffusions with nonlinear drift and measurements
Charalambous, Charalambos D.; Elliott, R. J. (1998)The optimal least-squares filtering of a diffusion x(t) from its noisy measurements {y(τ); 0 ≤ τ ≤ t} is given by the conditional mean E[x(t)\y(τ); 0 ≤ τ ≤ t]. When x(t) satisfies the stochastic diffusion equation dx(t) = ...
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Article
New finite-dimensional risk-sensitive filters: Small noise limits
Charalambous, Charalambos D.; Dey, S.; Elliott, R. J. (1998)This paper is concerned with continuous-time nonlinear risk-sensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finite-dimensional ...