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Original Articles

MORE ON A PARTIALLY OBSERVED STOCHASTIC OPTIMAL FEEDBACK CONTROL PROBLEM

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Pages 1-13 | Received 24 May 1989, Accepted 16 Jan 1990, Published online: 19 Oct 2007
 

Abstract

Teo el at. (1989) proposed and numerically solved a feedback control problem for a partially observed linear system with Poisson process noise. In this paper, we suggest a modified control structure and show that the modification leads to a superior control scheme. The discussion is illustrated with examples which show the benefits of the modifications and extensions. The paper also demonstrates the benefits of martingale stochastic calculus.

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