Joint estimation and control for a class of stochastic dynamic teams

Abstract

The authors formulate and solve an infinite-horizon stochastic optimization problem where both the control and the measurement strategies are to be designed simultaneously, under a quadratic performance index. The complete solution to the infinite-horizon problem is provided, the existence of optimal stationary policies is established, and an algorithm for the numerical computation of these policies is given. Thus linear stationary policies are overall optimal and can be obtained from the solution of an infinite-horizon nonlinear deterministic optimal control problem.<>