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• W57000333 abstract "This paper is concerned with determining an optimal control policy in situations where at any time it is possible that information concerning the state vector of the system may or may not be contained in the observations-''interrupted stochastic control problem''. The interrupted observation mechanism is formulated in terms of two-state Markov chain with states 0 and 1. A Separation Theorem is established for discrete-time linear system with interrupted observations and an expected quadratic cost. The optimal policy is realized by cascading a nonlinear estimator, which computes the conditional mean of the state vector, with the optimal feedback gain matrix in which all uncertainties are removed. This does not require the use of dynamic programming and has much computational advantage. The nonlinear estimator consists of a weighted sum of Kalman type filters. The performance measure is evaluated and it is pointed out that the probability of interruption enters into the expected cost only as a function of the estimation error covariance matrix." @default.
• W57000333 created "2016-06-24" @default.
• W57000333 creator A5051043193 @default.
• W57000333 creator A5088147482 @default.
• W57000333 date "1972-07-01" @default.
• W57000333 modified "2023-09-27" @default.
• W57000333 title "Optimal stochastic control for discrete-time linear system with interrupted observations" @default.
• W57000333 cites W1984884187 @default.
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• W57000333 doi "https://doi.org/10.1016/0005-1098(72)90101-x" @default.
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