The Conditional Adjoint Process

The Conditional Adjoint Process

Title : The Conditional Adjoint Process
Authors :
Kohlmann, Michael
Elliott, Robert J
Baras, John, S.
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.

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