Measure-Valued Processes in the Control of Partially-Observable Stochastic Systems.

Abstract

This paper is concerned with the optimal control of continuous-time Markov processes. The admissible control laws are based on white-noise corrupted observations of a function on the state processes. A 'separated' control problem is introduced, whose states are probability measures on the original state space. The original and separated control problems are related via the nonlinear filter equation. The existence of a minimum for the separated problem is established. Under more restrictive assumptions it is shown that the minimum expected cost for the separated problem equals the infimum of expected costs for the original problem with partially observed states.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1979
Accession Number
ADA072070

Entities

People

  • Wendell Fleming

Organizations

  • Brown University

Tags

DTIC Thesaurus Topics

  • Air Force
  • Applied Mathematics
  • Brownian Motion
  • Differential Equations
  • Equations
  • Generators
  • Markov Processes
  • Mathematics
  • Observation
  • Partial Differential Equations
  • Probability
  • Probability Distributions
  • Random Variables
  • Rhode Island
  • Sequences
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Fluid Mechanics and Fluid Dynamics.

Technology Areas

  • Space
  • Space - Spacecraft Maneuvers