English, Article edition: Optimal information acquisition for a linear quadratic control problem Lindset, Snorre; Lund, Arne-Christian; Matsen, Egil

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Optimal information acquisition for a linear quadratic control problem
Author
  • Lindset, Snorre
  • Lund, Arne-Christian
  • Matsen, Egil
Physical Description
  • article
Notes
  • This paper develops a generalization of the linear quadratic control problem with partial information. As in the standard partial information setting, it is assumed that the state variable is only observed with noise. The idea in this paper is that the information level may be chosen optimally. In real life information is costly to acquire. It is therefore a trade off between the costs of getting detailed information and the increased value this information gives. We believe that the technique we present should have potential for application within both economics and engineering.
  • Dynamic programming Linear quadratic control Partial information Optimal information acquisition
  • RePEc:eee:ejores:v:199:y:2009:i:2:p:435-441
Language
  • English
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