A minimum principle for stochastic control problems with output feedback

H. Kwakernaak

doi:10.1016/S0167-6911(81)80017-5

A minimum principle for stochastic control problems with output feedback

H. Kwakernaak

University of Twente

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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 language	Undefined
Pages (from-to)	74-77
Journal	Systems and control letters
Volume	1
Issue number	1
DOIs	https://doi.org/10.1016/S0167-6911(81)80017-5
Publication status	Published - 1981

Keywords

IR-68732

Access to Document

10.1016/S0167-6911(81)80017-5

Kwakernaak81minimum

Cite this

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title = "A minimum principle for stochastic control problems with output feedback",

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.",

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AU - Kwakernaak, H.

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AB - 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.

KW - IR-68732

U2 - 10.1016/S0167-6911(81)80017-5

DO - 10.1016/S0167-6911(81)80017-5

M3 - Article

SN - 0167-6911

VL - 1

SP - 74

EP - 77

JO - Systems and control letters

JF - Systems and control letters

IS - 1

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