The solution of a partially observed stochastic optimal control problem in terms of predicted miss

The explicit solution of a partially observed LQ problem driven by a combination of a Wiener process and an unobserved finite-state jump Markov process is given. Applications of the model include guidance problems, where the jump Markov process models evasive maneuvers (acceleration values) of the target, or systems subject to a sequence of failures that can be modeled by a jump Markov process.<
>