Separation principle for linear quadratic control in statistically uncertain stochastic hybrid system
We consider the minimax control problem for linear stochastic dynamic system with both continuous and discrete observations. It is assumed that the intensities of the continuous- and discrete-time noises are not known exactly. The only information available is that the noise intensities are constant and belong to a priori known compact uncertainty sets. The minimax control equations are provided in the explicit form.
For section IS2 (Estimation in Dynamic Systems) organized by A.I. Matasov