标题:What Is the Effect of Observable Information Quantity on Cost Functional ?
作者:Wang Guangchen
通讯作者:Wang, GC
作者机构:[Wang, GC]Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China.
会议名称:30th Chinese Control Conference
会议日期:JUL 22-24, 2011
来源:2011 30TH CHINESE CONTROL CONFERENCE (CCC)
出版年:2011
页码:1334-1337
关键词:LQ optimal control; Filtering; Separation theorem; Information value;; Backward stochastic differential equation
摘要:This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem with partial information. Using stochastic filtering, Wonham's separation theorem and maximum principle, one shows that the effect of observable information quantity on cost functional. This result is basically consistent with people's intuition.
收录类别:CPCI-S
资源类型:会议论文
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