Accession Number:

ADA067834

Title:

A General Martingale Approach to Discrete Time Stochastic Control and Estimation.

Descriptive Note:

Interim rept.,

Corporate Author:

TEXAS UNIV AT AUSTIN DEPT OF ELECTRICAL ENGINEERING

Personal Author(s):

• Hsu,Kai
• Marcus,Steven I.

Report Date:

1979-03-23

Pagination or Media Count:

23.0

Abstract:

A general method of constructing system models for the solution of discrete time stochastic control and estimation problems is presented. The method involves the application of modern martingale theory and entails the judicious choice of certain sigma-algebras and martingales. General estimation equations are derived for observations taking values in a countable space, and previously obtained estimation equations are exhibited as special cases. Finally, an example of the application of the these methods to a stochastic control problem is analyzed. Author

Descriptors:

• *STOCHASTIC CONTROL
• MATRICES(MATHEMATICS)
• ALGEBRA
• ESTIMATES
• DISCRETE DISTRIBUTION
• NONLINEAR ANALYSIS
• MARKOV PROCESSES

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE