A minimum principle for stochastic control problems with output feedback
نویسندگان
چکیده
منابع مشابه
A minimum principle for stochastic control problems with output feedback
A minimum principle for stochastic control problems with output feedback is derived by applying Bismut’s minimum principle for stochastic control problems with full information about the past to the Kushner-Stratonovitch equation describing the controlled evolution of the conditional density of the state. The well-known solution of the linear-quadratic Gaussian problem is obtained from the prin...
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ژورنال
عنوان ژورنال: Systems & Control Letters
سال: 1981
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(81)80017-5