TY - JOUR
T1 - OPTIMAL CONTROL OF PARTIALLY OBSERVABLE STOCHASTIC SYSTEMS WITH AN EXPONENTIAL-OF-INTEGRAL PERFORMANCE INDEX.
AU - Bensoussan, A.
AU - van Schuppen, J. H.
PY - 1984/7
Y1 - 1984/7
N2 - The stochastic control problem with linear stochastic differential equations driven by Brownian motion processes and the exponential of a quadratic form as cost functional is considered. The solution consists of a linear control law and of a linear stochastic differential equation. The latter has the same structure as the Kalman filter but depends explicitly on the cost functional. The separation property does not hold in general for the solution to this problem.
AB - The stochastic control problem with linear stochastic differential equations driven by Brownian motion processes and the exponential of a quadratic form as cost functional is considered. The solution consists of a linear control law and of a linear stochastic differential equation. The latter has the same structure as the Kalman filter but depends explicitly on the cost functional. The separation property does not hold in general for the solution to this problem.
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M3 - RGC 21 - Publication in refereed journal
SN - 0363-0129
VL - 23
SP - 599
EP - 613
JO - SIAM Journal on Control and Optimization
JF - SIAM Journal on Control and Optimization
IS - 4
ER -