STOCHASTIC OPTIMAL CONTROL AND ITS CONNECTION WITH ESTIMATION.

The paper describes a formulation of the stochastic control problem in which the primary and secondary performance indices are distinguished. A minimization and averaging principle, defining the connection between the two indices, is established, and some conclusions resulting from the principle are described. The generalized certainty equivalence principle, in some new notation, is also presented. The original generalized recursive estimation problem, which is equivalent to the stochastic optimal control problem, is formulated and solved.