A General Martingale Approach to Discrete Time Stochastic Control and Estimation.

Abstract

A general method of constructing system models for the solution of discrete time stochastic control and estimation problems is presented. The method involves the application of modern martingale theory and entails the judicious choice of certain sigma-algebras and martingales. General estimation equations are derived for observations taking values in a countable space, and previously obtained estimation equations are exhibited as special cases. Finally, an example of the application of the these methods to a stochastic control problem is analyzed. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 23, 1979
Accession Number
ADA067834

Entities

People

  • Kai Hsu
  • Steven I Marcus

Organizations

  • University of Texas at Austin

Tags

DTIC Thesaurus Topics

  • Air Force
  • Algorithms
  • Dynamic Programming
  • Electrical Engineering
  • Engineering
  • Equations
  • Estimators
  • Filtration
  • Markov Chains
  • Markov Processes
  • Nonlinear Systems
  • Observation
  • Probability
  • Probability Distributions
  • Random Variables
  • Stochastic Control

Fields of Study

  • Mathematics

Readers

  • Control Systems Engineering.
  • Statistical inference.

Technology Areas

  • Space
  • Space - Spacecraft Maneuvers