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Linearly-quadratic problem of stochastic control. (English. Russian original) Zbl 0739.93081

Autom. Remote Control 51, No. 8, 1089-1094 (1990); translation from Avtom. Telemekh. 1990, No. 8, 99-105 (1990).
The authors consider a stochastic control problem of a partially observable discrete time linear system with additive state and output noises and a quadratic cost criterion. A control strategy nonlinear in outputs is constructed, which is optimal in the class of feedbacks linear in observations.

MSC:

93E20 Optimal stochastic control
49N10 Linear-quadratic optimal control problems
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