The Conditional Adjoint Process.

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1988
Authors
Baras, John S.
Elliott, Robert J.
Kohlmann, Michael
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Abstract
The adjoint and minimum principle for a partially observed diffusion can be obtained by differentiating the statement that a control u* is optimal. Using stochastic flows the variation in the cost resulting from a change in an optimal control can be computed explicitly. The technical difficulty is to justify the differentiation.
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http://hdl.handle.net/1903/4734
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Institute for Systems Research Technical Reports