Title :
Control of some partially observed linear stochastic systems with fractional Brownian motions
Author :
Duncan, T.E. ; Pasik-Duncan, B.
Author_Institution :
Dept. of Math., Univ. of Kansas, Lawrence, KS, USA
Abstract :
A control problem is formulated for a linear stochastic system with noisy, partial observations of the state and a cost that is a quadratic functional of the state and the control. Both the system noise and the observation noise can be fractional Brownian motions. An optimal control is explicitly described and this control is compared to the well known optimal control where the state and the observation noises are Brownian motions.
Keywords :
linear quadratic control; linear systems; stochastic systems; fractional Brownian motion; linear-quadratic Gaussian control; observation noise; optimal control; partially observed linear stochastic system; quadratic functional; system noise; Brownian motion; Equations; Linear systems; Noise; Optimal control; Stochastic systems; fractional Brownian motion; linear quadratic Gaussian control; linear regulator; partially observed linear stochastic systems;
Conference_Titel :
Decision and Control and European Control Conference (CDC-ECC), 2011 50th IEEE Conference on
Conference_Location :
Orlando, FL
Print_ISBN :
978-1-61284-800-6
Electronic_ISBN :
0743-1546
DOI :
10.1109/CDC.2011.6160486
