Type:
Conference Paper›Invited and refereed articles in conference proceedings
Authored by:
Baras, John S., Elliott, Robert J., Kohlmann, Michael.
Conference date:
June 8-10, 1988
Conference:
The 8th International Conference on Analysis and Optimization of Systems, pp. 654-662
Full Text Paper:
Abstract:
The adjoint process and minimum principle for a partially observed diffusion can be obtained by differentiating the statement that a control u' is optimal. Using stochastic flows the variation in the cost resulting from a change in an optimal control can be computed explicitly. The technical difficulty is to justify the differentiation.