A minimum principle for stochastic control problems with output feedback

H. Kwakernaak

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Abstract

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 principle.
Original languageUndefined
Pages (from-to)74-77
JournalSystems and control letters
Volume1
Issue number1
DOIs
Publication statusPublished - 1981

Keywords

  • IR-68732

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