Title :
Information states in optimal control of stochastic systems: a Lie algebraic theoretic approach
Author :
Charalambous, Charalambos D. ; Elliott, Robert J.
Author_Institution :
Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada
Abstract :
We introduce the sufficient statistic algebra which is responsible for propagating the sufficient statistic, or information state, in the optimal control of stochastic systems. Using a Lie algebraic formulation, the sufficient statistic algebra enables us to determine a priori whether there exist finite-dimensional controllers; it also enables us to classify all finite-dimensional controllers
Keywords :
Lie algebras; linear systems; multidimensional systems; nonlinear control systems; observers; optimal control; stochastic systems; Lie algebraic theoretic approach; finite-dimensional controllers; information states; optimal control; stochastic systems; sufficient statistic algebra; Algebra; Control systems; Differential algebraic equations; Integral equations; Nonlinear control systems; Nonlinear equations; Optimal control; Statistics; Stochastic processes; Stochastic systems;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657836
