Abstract
The paper is concerned with stochastic optimal control strategy for a discrete linear system and quadratic performance index in the case of disturbances belonging to a general class of stochastic processes. It has been proved that the optimal strategy in the case of incomplete information results from the optimal strategy in the case of complete information through replacing of variables by its estimates. The increase in the mean value of performance index in the case of incomplete information with reference to the case of complete information has been shown. It has been shown also that the well-known conventional Theorem is a special case of the Generalized Principle yet to be proved. To illustrate the considerations the application of the Generalized Principle to the case of Gaussian correlated disturbances, to be known later, has been shown.
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