ISSN:
1573-2878
Keywords:
Optimal control
;
linear-quadratic systems
;
unknown targets
;
points of information
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract The situation considered is of optimally controlling a deterministic system from a given state to an initially unknown targety in a fixed time interval [T 0,T]. The target will be certainly known at a random time τ in [T 0,T]. The controller knows the distributions ofy and τ. We derive the Bellman equation for the problem, prove a verification theorem for it, and demonstrate how the distribution τ influences the optimal control. We show that, in the linear-quadratic case, the optimal control is given by a feedback law that does not depend on the distribution of τ.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00940309
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