Control of a hybrid conditionally linear Gaussian process |
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Authors: | R J Elliott D D Sworder |
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Institution: | (1) Department of Statistics and Applied Probability, University of Alberta, Edmonton, Alberta, Canada;(2) Department of Applied Mechanics and Engineering Sciences, University of California at San Diego, La Jolla, California |
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Abstract: | A control problem is considered where the coefficients of the linear dynamics are functions of a noisily observed Markov chain. The approximation introduced is to consider these coefficients as functions of the filtered estimate of the state of the chain; this gives rise to a finite-dimensional conditional Kalman filter. A minimum principle and a new equation for an adjoint process are obtained.This research was partially supported by NSERC under Grant A-7964, by the US Air Force Office of Scientific Research under Contract AFOSR-86-0332, and by the US Army Research Office under Contract DAAL03-87-0102.The authors obtained these results during a visit to UCSD by the first author in January 1990. This author wishes to thank Professor D. D. Sworder and his department for their hospitality. |
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Keywords: | Hybrid control filtering minimum principle adjoint process separation principle |
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