Skip Navigation

IMA Journal of Mathematical Control and Information 1990 7(4):293-305; doi:10.1093/imamci/7.4.293
© 1990 by Institute of Mathematics and its Applications
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by FRAGOSO, M. D.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

A Small Random Perturbation Analysis of a Partially Observable LQG Problem for Systems with Markovian Jumping Parameters

MARCELO D. FRAGOSO

National Laboratory for Scientific Computation, Department of Research and Development Rua Lauro Müller 455, 22290 Rio de Janeiro, Brazil

A variant of Shannon's entropy function is used in conjunction with Itô's calculus to study the loss of optimality of a certain average control policy proposed by Fragoso (1988), for a class of partially observable LQG problems for systems with Markovian jumping parameters, when a small random perturbation (a small diffusion) is considered. It is shown that for a perturbation of order {varepsilon} the average control is ({varepsilon}2 log {varepsilon}–1)-optimal in some sense.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.