Information states in optimal control of stochastic systems: A Lie algebraic theoretic approach
AuthorCharalambous, Charalambos D.
Elliott, Robert J.
SourceProceedings of the IEEE Conference on Decision and Control
Proceedings of the IEEE Conference on Decision and Control
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In this paper we introduce the sufficient statistic algebra which is responsible for propagating the sufficient statistic, or information state, in the optimal control of stochastic systems. Using a Lie algebraic formulation, the sufficient statistic algebra enables us to determine a priori whether there exist finite-dimensional controllers; it also enables us to classify all finite-dimensional controllers.