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Lie algebraic methods in optimal control of stochastic systems with exponential-of-integral sample cost: Examples
(1998)
The optimal control of partially observed stochastic systems with exponential-of-integral-sample cost is considered. The concept of sufficient statistic algebra is introduced to construct finite-dimensional controllers. ...
New finite-dimensional stochastic optimal control problems
(IEEE, 1997)
This paper is concerned with partially observed stochastic optimal control problems. The states of the system are described by nonlinear controlled diffusion equations. The measurements are noisy linear combinations of the ...
Remarks on the explicit solutions for nonlinear partially observable stochastic control problems and relations to H∞ or robust control
(IEEE, 1995)
Partially observable stochastic and H∞ control problems are considered. The dynamics include nonlinearities which are the gradient of some potential function in addition to linear terms, the observations are linear, and ...
Classes of nonlinear partially observable stochastic optimal control problems with explicit optimal control laws
(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 ...
Risk-sensitive/integral control for systems with point process observations
(IEEE, 1994)
This paper deals with necessary conditions for integral and exponential-of-integral cost functions, when the signal is a controlled diffusion process, and the observations consist of continuous and discontinuous processes. ...
Necessary conditions for partially observed diffusions
(IEEE, 1993)
We present a new approach to deriving necessary conditions for stochastic partially observed control problems when the control enters the drift coefficient, and correlation between signal and observation noise is allowed. ...
First passage risk-sensitive criterion for stochastic evolutions
(1995)
The purpose of this paper is to investigate in an infinite dimensional space, the first passage problem with a risk-sensitive performance criterion, and to illustrate the asymptotic behavior of the associated value function, ...
Certain nonlinear partially observable stochastic optimal control problems with explicit control laws equivalent to LEQG/LQG problems
(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 ...
Partially observable nonlinear risk-sensitive control problems: Dynamic programming and verification theorems
(1997)
In this paper, we consider continuous-time partially observable optimal control problems with exponential-of-integral cost criteria. We derive a rigorous verification theorem when the state and control enter nonlinear in ...
Stochastic nonlinear minimax dynamic games with noisy measurements
(IEEE, 1999)
This paper is concerned with nonlinear stochastic minimax dynamic games which are subject to noisy measurements. The minimizing players are control inputs while the maximizing players are square-integrable stochastic ...