New finite-dimensional stochastic optimal control problems
AuthorCharalambous, Charalambos D.
Elliott, Robert J.
SourceProceedings of the American Control Conference
Proceedings of the American Control Conference
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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 state, and the rate of change of the state of the system. Explicit representations for the information state are derived in terms of a finite-number of sufficient statistics. This allows application of Wonham classical separation theorem.
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