The Conditional Adjoint Process

Abstract

The adjoint and minimum principle for a partially observed diffusion can be obtained by differentiating the statement that a control u* is optimal. Using stochastic flows the variation in the cost resulting from a change in an optimal control can be computed explicitly. The technical difficulty is to justify the differentiation.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1988
Accession Number
ADA450186

Entities

People

  • John Baras
  • Michael Kohlmann
  • Robert J. Elliott

Organizations

  • University of Maryland

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Air Force
  • Availability
  • Classification
  • Contracts
  • Cooperation
  • Diffusion
  • Information Operations
  • Instructions
  • Maryland
  • Monitoring
  • Probability
  • Scientific Research
  • Security
  • Standards
  • Universities

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Statistical inference.