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A non-autonomous stochastic discrete time system with uniform disturbances
The main objective of this article is to present Bayesian optimal control
over a class of non-autonomous linear stochastic discrete time systems with
disturbances belonging to a family of the one parameter uniform distributions.
It is proved that the Bayes control for the Pareto priors is the solution of a
linear system of algebraic equations. For the case that this linear system is
singular, we apply optimization techniques to gain the Bayesian optimal
control. These results are extended to generalized linear stochastic systems of
difference equations and provide the Bayesian optimal control for the case
where the coefficients of these type of systems are non-square matrices. The
paper extends the results of the authors developed for system with disturbances
belonging to the exponential family