The Conditional Adjoint Process
Title : The Conditional Adjoint Process
Authors :
Conference : The 8th International Conference on Analysis and Optimization of Systems pp. 654-662
Date: June 08 - June 10, 1988
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Authors :
Baras, John S.
Kohlmann, Michael
Elliott, Robert J
Kohlmann, Michael
Elliott, Robert J
Conference : The 8th International Conference on Analysis and Optimization of Systems pp. 654-662
Date: June 08 - June 10, 1988
The adjoint process 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.