Title :
What is the effect of observable information quantity on cost functional?
Author_Institution :
Sch. of Control Sci. & Eng., Shandong Univ., Jinan, China
Abstract :
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem with partial information. Using stochastic filtering, Wonham´s separation theorem and maximum principle, one shows that the effect of observable information quantity on cost functional. This result is basically consistent with people´s intuition.
Keywords :
linear quadratic control; maximum principle; stochastic processes; LQ control; Wonham separation theorem; cost functional; linear-quadratic optimal control problem; maximum principle; observable information quantity effect; stochastic filtering; Differential equations; Educational institutions; Equations; Optimal control; Presses; Process control; Stochastic systems; Backward stochastic differential equation; Filtering; Information value; LQ optimal control; Separation theorem;
Conference_Titel :
Control Conference (CCC), 2011 30th Chinese
Conference_Location :
Yantai
Print_ISBN :
978-1-4577-0677-6
Electronic_ISBN :
1934-1768
