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This paper presents the optimal risk-sensitive controller problem for first degree polynomial stochastic systems with a scaling intensity parameter, multiplying the diffusion term in the state and observations equations and exponential-quadratic cost function to be minimized. The optimal risk-sensitive controller equations are obtained based on the optimal risk-sensitive filtering and control equations...
The optimal exponential-quadratic control problem and exponential mean-square filtering problems are considered for stochastic Gaussian systems with polynomial first degree drift terms and intensity parameters multiplying diffusion terms in the state and observations equations. The closed form optimal control and filtering algorithms are obtained using quadratic value functions as solutions to the...
The algorithms for the optimal filter and control have been obtained for systems with polynomial first degree drift term in the state and observations equations. Two cases are presented: systems with disturbances in L2 and systems with Brownian motion and parameter epsiv multiplying both in the state and observation equations. The algorithms of the optimal risk-sensitive filter are obtained in each...
The algorithm for the optimal filter has been obtained for systems with polynomial first degree drift term in the state and observations equations. Two cases are presented: systems with disturbances in L2 and systems with Brownian motion and parameter epsiv in the state and observations equations. The algorithms of the optimal risk-sensitive filter are obtained in each case and their performance verified...
In this paper, the optimal filtering problem for linear systems with state and multiple observation delays is treated proceeding from the general expression for the stochastic Ito differential of the optimal estimate, error variance, and various error covariances. As a result, the optimal estimate equation similar to the traditional Kalman-Bucy one is derived; however, it is impossible to obtain a...
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