Towards sub-optimal stochastic control of partially observable stochastic systemsThe paper deals with a class of multidimensional stochastic control problems with noisy data and bounded controls encountered in aerospace design. The emphasis is on suboptimal design, the optimality being taken in quadratic mean sense. To that effect the problem is viewed as a stochastic version of the Lurie problem known from nonlinear control theory. The main result is a separation theorem (involving a nonlinear Kalman-like filter) suitable for Lurie-type approximations. The theorem allows for discontinuous characteristics. As a byproduct the existence of strong solutions to a class of non-Lipschitzian stochastic differential equations in n dimensions is proved.
Document ID
19810061158
Acquisition Source
Legacy CDMS
Document Type
Conference Proceedings
Authors
Ruzicka, G. J. (McDonnell Douglas Astronautics Co. Huntington Beach, CA, United States)