Accession Number:

AD0741579

Title:

Note sur le Feedback Instantane Optimal (Note of Instantaneous Optimal Feedback),

Descriptive Note:

Corporate Author:

ECOLE NATIONALE SUPERIEURE DES MINES DE PARIS FONTAINEBLEAU (FRANCE) CENTRE D'AUTOMATIQUE

Personal Author(s):

Report Date:

1972-01-01

Pagination or Media Count:

14.0

Abstract:

A generalized form of the stochastic Hamilton Jacobi Bellman partial differential equation is derived. It is used to solve the classical linear quadratic problem with noisy dynamics when the class of admissible control functions is reduced to an instantaneous feedback of possibly noisy observations. Some convenient rules of differentiation with respect to non scalar variables are appended, with application to the minimization of the hamiltonian encountered in the above problem. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE