Skip to main content
eScholarship
Open Access Publications from the University of California

The Separation Principle in Stochastic Control, Redux

  • Author(s): Georgiou, Tryphon T
  • Lindquist, Anders
  • et al.
Abstract

Over the last 50 years, a steady stream of accounts have been written on the separation principle of stochastic control. Even in the context of the linear-quadratic regulator in continuous time with Gaussian white noise, subtle difficulties arise, unexpected by many, that are often overlooked. In this paper we propose a new framework for establishing the separation principle. This approach takes the viewpoint that stochastic systems are well-defined maps between sample paths rather than stochastic processes per se and allows us to extend the separation principle to systems driven by martingales with possible jumps. While the approach is more in line with 'real-life' engineering thinking where signals travel around the feedback loop, it is unconventional from a probabilistic point of view in that control laws for which the feedback equations are satisfied almost surely, and not deterministically for every sample path, are excluded. © 2013 IEEE.

Many UC-authored scholarly publications are freely available on this site because of the UC Academic Senate's Open Access Policy. Let us know how this access is important for you.

Main Content
Current View