Accession Number : ADA019555

Title :   An Exact Estimator-Controller Solution to a Stochastic Optimal-Control 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 so-called dual control problem is the most general stochastic optimal-control 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 stochastic-estimation 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 time-space point process. We show that the solution to this dual control problem can be realized with a separated estimator-controller in which the estimator is nonlinear, mean-square optimal, and finite-dimensional, 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