Classes of nonlinear partially observable stochastic optimal control problems with explicit optimal control laws
AuthorCharalambous, Charalambos D.
Elliott, R. J.
SourceSIAM Journal on Control and Optimization
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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 control laws are analogous to linear-exponential-quadratic-Gaussian and linear-quadratic-Gaussian tracking problems. The problems discussed allow nonlinearities to enter the unobservable dynamics as gradients of potential functions. The methodology is based on explicit solutions of a modified Duncan-Mortensen-Zakai equation.
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