Title :
The solution of a partially observed stochastic optimal control problem in terms of predicted miss
Author :
Helmes, Kurt ; Rishel, Raymond
Author_Institution :
Dept. of Math., Kentucky Univ., Lexington, KY, USA
fDate :
9/1/1992 12:00:00 AM
Abstract :
The explicit solution of a partially observed LQ problem driven by a combination of a Wiener process and an unobserved finite-state jump Markov process is given. Applications of the model include guidance problems, where the jump Markov process models evasive maneuvers (acceleration values) of the target, or systems subject to a sequence of failures that can be modeled by a jump Markov process
Keywords :
Markov processes; optimal control; stochastic systems; LQ problem; Wiener process; evasive maneuvers; guidance problems; partially observed stochastic optimal control; predicted miss; unobserved finite-state jump Markov process; Adaptive control; Automatic control; Circuit stability; Control systems; Differential equations; Markov processes; Optimal control; Polynomials; Robustness; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
