The separation principle for impulse control problems
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- by José-Luis Menaldi PDF
- Proc. Amer. Math. Soc. 82 (1981), 439-445 Request permission
Abstract:
In this paper, one shows that the combined problem of optimal impulse control and filtering, for a stochastic linear dynamic system observed via a noisy linear channel, can be reduced to two independent problems of impulse control and filtering, respectively.References
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Additional Information
- © Copyright 1981 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 82 (1981), 439-445
- MSC: Primary 93E99; Secondary 60G35
- DOI: https://doi.org/10.1090/S0002-9939-1981-0612736-6
- MathSciNet review: 612736