The Separation Principle in Stochastic Control, Redux
Anders Lindquist, KTH Stockholm
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 provide a conceptual framework that clarifies pitfalls and possibilities. We also provide a generalizations of the separation theorem to a wide class of feedback laws, models and stochastic noise, including semimartingales with possible jumps. This is joint work with Tryphon Georgiou.