Filtering method for linear and non-linear stochastic optimal control of partially observable systems II

Abstract

In this paper we studied stochastic optimal control problem based on partially observable systems (SOCPP) with a control factor on the diffusion term. A SOCPP has state and observation processes. This kind of problem has also a minimum payoff function. The payoff function should be minimized according to the partially observable systems consist of the state and observation processes. In this regard, the filtering method is used to evaluat this kind of problem and express full consideration of it. Finally, presented estimation methods are used to simulate the solution of a partially observable system corresponding to the control factor of this problem. These methods are numerically used to solve linear and nonlinear cases.