论文信息 - On the optimal control of stochastic linear systems

On the optimal control of stochastic linear systems

The problem of controlling stochastic linear systems with quadratic criteria is considered. It is proved that the optimal control law can be realized by the cascade of a Kalman filter and a linear feedback. The importance of different assumptions required in this proof is discussed in detail. This discussion provides some motivation for different extension results.

E. Tse

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