Examples of optimal control for nonlinear stochastic control problems with partial information
Date
1995Publisher
IEEESource
Proceedings of the IEEE Conference on Decision and ControlProceedings of the IEEE Conference on Decision and Control
Volume
3Pages
2187-2192Google Scholar check
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Partially observable stochastic optimal control problems are considered. It is shown, via an information state approach and dynamic programming, that several classes of nonlinear systems with non-linearities in the dynamics give linear feedback optimal control laws. These are the analogs of Linear-Exponential-Quadratic-Gaussian (LEQG) and Linear-Quadratic-Gaussian (LQG) tracking problems.
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