Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

A separation theorem for stochastic singular linear quadratic control problem with partial information

A separation theorem for stochastic singular linear quadratic control problem with partial... In this paper, we provide a separation theorem for the singular linear quadratic (LQ) control problem of Itô-type linear systems in the case of the state being partially observable. Above all, the Kalman-Bucy filtering of the dynamics is given by means of Girsanov transformation, by which the suboptimal feedback control of the LQ problem is determined. Furthermore, it is shown that the well-posedness of the LQ problem is equivalent to the solvability of a generalized differential Riccati equation (GDRE). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

A separation theorem for stochastic singular linear quadratic control problem with partial information

Acta Mathematicae Applicatae Sinica , Volume 29 (2) – Apr 10, 2013

Loading next page...
 
/lp/springer-journals/a-separation-theorem-for-stochastic-singular-linear-quadratic-control-ffHI6TcGWe
Publisher
Springer Journals
Copyright
Copyright © 2013 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-013-0218-2
Publisher site
See Article on Publisher Site

Abstract

In this paper, we provide a separation theorem for the singular linear quadratic (LQ) control problem of Itô-type linear systems in the case of the state being partially observable. Above all, the Kalman-Bucy filtering of the dynamics is given by means of Girsanov transformation, by which the suboptimal feedback control of the LQ problem is determined. Furthermore, it is shown that the well-posedness of the LQ problem is equivalent to the solvability of a generalized differential Riccati equation (GDRE).

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Apr 10, 2013

References