On approximation techniques for stochastic control with partial information

Research output: Journal Publications and ReviewsRGC 22 - Publication in policy or professional journal

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)716-718
Journal / PublicationProceedings of the IEEE Conference on Decision and Control
Volume1
Publication statusPublished - 1989
Externally publishedYes

Conference

TitleProceedings of the 28th IEEE Conference on Decision and Control. Part 1 (of 3)
CityTampa, FL, USA
Period13 - 15 December 1989

Abstract

Finite-dimensional filters are used in the context of stochastic control with partial information to obtain a kind of approximate separation principle. It turns out that many technical problems are met in the study of the approximation and that some simplification is desirable. The author shows how to use partial differential equation techniques to simplify the proofs as much as posible and to permit more general classes of approximate feedback to be envisioned.