Optimal control of stochastic systems with costly observations - the general Markovian model and the LQG problem

@article{Wu2005OptimalCO,
  title={Optimal control of stochastic systems with costly observations - the general Markovian model and the LQG problem},
  author={Wei Wu and Aristotle Arapostathis},
  journal={Proceedings of the 2005, American Control Conference, 2005.},
  year={2005},
  pages={294-299 vol. 1}
}
In this paper, we examine a discrete-time stochastic control problem in which there are a number of observation options available to the controller, with varying associated costs. The observation costs are added to the running cost of the optimization criterion and the resulting optimal control problem is investigated. This problem is motivated by the wide deployment of networked control systems and data fusion. Since only part of the observation information is available at each time step, the… CONTINUE READING