On the evaluation of expected performance cost for partially observed closed-loop stochastic systems
作者:
DAVIDS. BAYARD,
MANSOUR ESLAMI,
期刊:
International Journal of Control
(Taylor Available online 1985)
卷期:
Volume 42,
issue 2
页码: 433-447
ISSN:0020-7179
年代: 1985
DOI:10.1080/00207178508933373
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
New methods arc presented for evaluating the expected performance cost of partially observed closed-loop stochastic systems. When the variances of the process statistics are small, a linearized model of the closed-loop stochastic system is defined for which the expected cost can be evaluated by recursion on a set of purely deterministic difference equations. When the variances of the process statistics are large, the linearized model can be used in the control variate method of variance reduction for reducing the number of sample paths required for effective Monte Carlo estimation.
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