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A stochastic optimal feedback control problem with random-sized jumps

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Dynamics and Control

Abstract

An optimal feedback control problem for a partially observed linear system with noise of fixed-sized jumps occurring at random times driven by a Poisson process is extended to include noise with random-sized jumps. The control structure is appropriately modified to compensate for the mean behavior of the system jumps via an additional deterministic term.

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Authors and Affiliations

  1. Department of Mathematics, University of Western Australia, 6009, Nedlands, W.A., Australia

    Timothy C. Brown

  2. Teletraffic Research Centre, University of Adelaide, G.P.O. Box 498, 5001, Adelaide S.A.

    Diana L. Pallant

Authors
  1. Timothy C. Brown
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  2. Diana L. Pallant
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Editor: N.U. Ahmed

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Brown, T.C., Pallant, D.L. A stochastic optimal feedback control problem with random-sized jumps. Dynamics and Control 2, 221–229 (1992). https://doi.org/10.1007/BF02169498

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  • DOI: https://doi.org/10.1007/BF02169498

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