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On the Separation Theorem of Stochastic Control

Authors: W. M. Wonham

Published: 1968 (Journal Paper)

Source: SIAM Journal on Control

Algorithm: Separation Theorem

DOI: 10.1137/0306023

Summary

Proves the separation theorem for linear-Gaussian stochastic control: the optimal policy decomposes into a Kalman filter for state estimation and an LQR feedback law computed as if the state were known. Establishes the theoretical foundation for LQG control and certainty-equivalence principles.

Abstract

Primary

Paper epubs.siam.org

Standard

DOI 10.1137/0306023

Tags

  • Stochastic control

  • Separation theorem

  • Certainty equivalence

  • Kalman filter

  • LQG control

  • Optimal control