Abstract
Abstract A new formulation is presented for a class of partially observed linear stochastic control problems described by three sets of stochaslic differential expressions: one for the system to be controlled, one for the observer (measurement) channel and one for the control channel driven by the observed process. The noise processes perturbing the system and observer dynamics are vector-valued counting processes (in particular Poisson processes) with time varying intensities. The approach is constructive, determining the optimal linear feedback control law subject to constraints on control (gain) matrices and closed loop system uncertainly. This makes the approach directly appealing to control system design. For illustration, numerical examples are solved using the proposed approach.
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