Suboptimal Control of a Class of Stochastic System with Random, Partially Observable Parameters

The control of a linear system with random coefficients is studied here. The cost function is of a quadratic form and the random coefficients are assumed to be partially observable by the controller. The optimal control is shown to be a linear function of the observable states and a nonlinear function of random parameters. An application to the landing process of an aircraft in gust wind is presented.