Optimal control of partially observable linear quadratic systems with asymmetric observation errors

Rosario Romera

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper deals with the optimal quadratic control problem for non-Gaussian discrete-time stochastic systems. Our main result gives explicit solutions for the optimal quadratic control problem for partially observable dynamic linear systems with asymmetric observation errors. For this purpose an asymmetric version of the Kalman filter based on asymmetric least squares estimation is used. We illustrate the applicability of our approach with numerical results.

Date: 2001-06
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws013220

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