Stochastic Control

Christiaan Heij (), André C.M. Ran () and Frederik van Schagen ()
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Christiaan Heij: Erasmus University Rotterdam, Department of Econometrics
André C.M. Ran: Vrije Universiteit, Department of Mathematics
Frederik van Schagen: Vrije Universiteit, Department of Mathematics

Chapter 8 in Introduction to Mathematical Systems Theory, 2021, pp 121-135 from Springer

Abstract: Abstract Stochastic optimal control problems can in principle be solved by stochastic dynamic programming. We pay special attention to the LQG problem where the system is linear, the cost function is quadratic, and the random variables have Gaussian distributions. The optimal controller is given by the LQG feedback law where the unobserved state is replaced by the Kalman filter estimate.

Date: 2021
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DOI: 10.1007/978-3-030-59654-5_8

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