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Optimal control for a class of partially observed bilinear stochastic systems

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1 Author(s)
Dabbous, T.E. ; Dept. of Electr. & Electron. Eng., Bilkent Univ., Ankara, Turkey

An alternative formulation is presented for a class of partially observed bilinear stochastic control problems which is described by three sets of stochastic differential equations: one for the system to be controlled, one for the observer, and one for the control process which is driven by the observation process. With this formulation, the stochastic control problem is converted to an equivalent deterministic identification problem of control gain matrices. Using standard variation arguments, the necessary conditions of optimality on the basis of which the optimal control parameters can be determined are obtained

Published in:

Decision and Control, 1990., Proceedings of the 29th IEEE Conference on

Date of Conference:

5-7 Dec 1990