Abstract
This paper treats the problem of optimal control of finite-state Markov processes observed in noise. Two types of noisy observations are considered: additive white Gaussian noise and jump-type observations. Sufficient conditions for the optimality of a control law are obtained similar to the stochastic Hamilton-Jacobi equation for perfectly observed Markov processes. An illustrative example concludes the paper.
| Original language | English |
|---|---|
| Pages (from-to) | 179-186 |
| Number of pages | 8 |
| Journal | IEEE Transactions on Automatic Control |
| Volume | 22 |
| Issue number | 2 |
| DOIs | |
| State | Published - Apr 1977 |
| Externally published | Yes |