Measure change techniques in optimal control |
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Authors: | R J Elliott L Aggoun |
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Institution: | (1) Department of Mathematical Sciences, University of Alberta, T6G 2G1 Edmonton, Alberta, Canada;(2) Department of Statistics, University of Auckland, Private Bag 92019, Auckland, New Zealand |
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Abstract: | Fully and partially observed stochastic control of systems with nonlinear dynamics and terminal and running costs are considered.
Measure changes are introduced which allow both state and observation dynamics to be thought of as linear. In the case when
the terms of the cost have a special form the measure change transformation “cancels out” the nonlinearities and changes the
original nonlinear problem into a classical LQG one and standard results can be applied. We also consider unnormalized conditional
densities of the whole path as state variables and obtain dynamic programming and verification results.
R. J. Elliott wishes to acknowledge support of the Natural Sciences and Engineering Research Council of Canada, Grant A7964. |
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Keywords: | Measure change Stochastic control Nonlinear dynamics LQG form |
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