MORE ON A PARTIALLY OBSERVED STOCHASTIC OPTIMAL FEEDBACK CONTROL PROBLEM

Teo el at. (1989) proposed and numerically solved a feedback control problem for a partially observed linear system with Poisson process noise. In this paper, we suggest a modified control structure and show that the modification leads to a superior control scheme. The discussion is illustrated with...

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Bibliographic Details
Published in:Engineering optimization 1990-07, Vol.16 (1), p.1-13
Main Authors: BROWN, TIMOTHY C., PALLANT, DIANA L.
Format: Article
Language:English
Subjects:
Applied sciences
Computer science
control theory
systems
Control
Control theory. Systems
Exact sciences and technology
feedback
martingales
Optimal control
point processes
stochastic calculus
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Summary:Teo el at. (1989) proposed and numerically solved a feedback control problem for a partially observed linear system with Poisson process noise. In this paper, we suggest a modified control structure and show that the modification leads to a superior control scheme. The discussion is illustrated with examples which show the benefits of the modifications and extensions. The paper also demonstrates the benefits of martingale stochastic calculus.
ISSN:0305-215X
1029-0273
DOI:10.1080/03052159008941161