Optimal linear stochastic control for systems with multiplicative noise

Arunabha Bagchi, Tom Schilperoort

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    The stochastic control problem of a linear dynamical system with multiplicative noise and with incomplete and inaccurate observation, has been studied for quadratic performance criterion. A suboptimal solution, which is the best linear control based on the available observations, has been worked out when the observations are given only at discrete-time points.
    Original languageUndefined
    Pages (from-to)1005-1007
    JournalIEEE transactions on automatic control
    Issue number5
    Publication statusPublished - 1980


    • IR-55612

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