On the optimal control of stochastic systems with an exponential-of-integral performance index

@article{Kumar1981OnTO,
  title={On the optimal control of stochastic systems with an exponential-of-integral performance index},
  author={P. Kumar and J. H. Schuppen},
  journal={Journal of Mathematical Analysis and Applications},
  year={1981},
  volume={80},
  pages={312-332}
}
Abstract In this paper a theory of optimal control is developed for stochastic systems whose performance is measured by the exponential of an integral form. Such a formulation of the cost function is shown to be not only general and useful but also analytically tractable. Starting with very general classes of stochastic systems, optimality conditions are obtained which exploit the multiplicative decomposability of the exponential-of-integral form. Specializing to partially observed systems of… Expand
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