Sensor selection for active information fusion
AAAI'05 Proceedings of the 20th national conference on Artificial intelligence - Volume 3
A measurement policy in stochastic linear filtering problems
Computers & Mathematics with Applications
Weakly Coercive Problems in Nonlinear Stochastic Control: Existence of Optimal Controls
SIAM Journal on Control and Optimization
Automatica (Journal of IFAC)
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We study a stochastic control problem for the optimization of observations in a partially observable stochastic system. Using a method of discontinuous time transformation, we associate with the original problem with unbounded controls a problem that has bounded controls. This latter problem allows us to construct nearly optimal nonanticipative Lipschitz Markov controls with finite observation power for the original problem. Since the controlled observation equation may degenerate, we also derive a corresponding filtering result and show a separation property of the optimal controls.