A Strong Separation Principle for Stochastic Control Systems Driven by a Hidden Markov Model
Raymond Rishel · SIAM Journal on Control and Optimization · 1994
For a linear quadratic system driven by the output of a hidden Markov model, it is shown that the optimal control is obtained by computing the optimal control as if this output was a known deterministic function, and then substituting the best current estimates of the future values of this output for the known function in this control.