
Accession Number : ADA019555
Title : An Exact EstimatorController Solution to a Stochastic OptimalControl Problem with Point Process Observations.
Descriptive Note : Interim rept.,
Corporate Author : WASHINGTON UNIV ST LOUIS MO DEPT OF SYSTEMS SCIENCE AND MATHEMATICS
Personal Author(s) : Snyder,Donald L. ; Rhodes,Ian B. ; Hoversten,Estil V.
Report Date : SEP 1975
Pagination or Media Count : 7
Abstract : The socalled dual control problem is the most general stochastic optimalcontrol problem and has been solved only under very restrictive conditions. Of special importance is the separation theorem which demonstrates that for a linear stochastic plant, quadratic costs, and linear observations in additive Gaussian noise, the optimal control law can be determined by solving separately and independently a causal stochasticestimation problem and a deterministic control problem. In this paper, we give the exact solution to a dual control problem involving a linear stochastic plant, quadratic costs, and nonlinear, nongaussian observations. The observations are in the form of a point process in which each point has both a temporal and a spatial coordinate. The state of the stochastic plant influences the intensity of the observed timespace point process. We show that the solution to this dual control problem can be realized with a separated estimatorcontroller in which the estimator is nonlinear, meansquare optimal, and finitedimensional, and the controller is linear.
Descriptors : *Control theory, *Stochastic processes, *Approximation(Mathematics), *Determinants(Mathematics), Theorems, Linear systems, Estimates, Point theorem, Optical communications, Optical tracking, Poisson equation, Infrared tracking, Star trackers, Counting methods, Symposia
Subject Categories : Statistics and Probability
Optical Detection and Detectors
Infrared Detection and Detectors
Distribution Statement : APPROVED FOR PUBLIC RELEASE