A separation theorem for stochastic singular linear quadratic control problem with partial information
- 112 Downloads
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).
Keywordssingular optimal control Kalman-Bucy filtering separation theorem linear systems generalized differential Riccati equation
2000 MR Subject Classification93E20
Unable to display preview. Download preview PDF.
- Huang, Y., Zhang, W. Study on stochastic linear quadratic optimal control with constraints. Acta Automatica Sinica, 32(3): 246–254 (2006)Google Scholar
- Oksendal, B. Stochastic differential equations: An introduction with applications, 6th ed., Corrected 4th printing. Spinger-Verlag, New York, 2007Google Scholar