What happens when certainty equivalence is not valid?: Is there an optimal estimator for terminal guidance?

Almost every known optimal control design has been based on the simplifying implementation idea that assumes the validity of the Certainty Equivalence Principleand the associated Separation Theorem . However, there are some optimal control problems for which the principle is not valid and a conventional design based on the unjustified assumption of validity can create unsatisfactory performance. This pitfall is illustrated by an example of interceptor guidance in a ballistic missile defense scenario. Results of extensive Monte Carlo simulations question the very existence of an independently designed optimal estimator for this task. © 2003 Elsevier Ltd. All rights reserved.

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