Examples of optimal control for nonlinear stochastic control problems with partial information
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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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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