Filtering Method for Linear and Non-Linear Stochastic Optimal Control Of Partially Observable Systems II

Abstract

In this paper studied stochastic partial observation optimal control (SOCP) problem with control on the
diffusion term. A SOCP problem has state and observation processes. This kind of problem also has a
minimization payoff function. The payoff function should be minimized according to partially
observation systems consist of state and observation processes. In this regard, filtering method is used
to evaluating this kind of problem and expressed full consideration of this method. Finally, presented
estimation methods to simulate the solution of a partially observation system corresponding to the SOCP
problem with control on the diffusion term. In this study, introduce numerical methods for linear and
nonlinear cases.