separation theorem


Also found in: Financial.

separation theorem

[‚sep·ə′rā·shən ‚thir·əm]
(control systems)
A theorem in optimal control theory which states that the solution to the linear quadratic Gaussian problem separates into the optimal deterministic controller (that is, the optimal controller for the corresponding problem without noise) in which the state used is obtained as the output of an optimal state estimator.
References in periodicals archive ?
Then by the Hahn-Banach Separation Theorem, there is [x.
By the Sturm type separation theorem, one solution of (6.
The separation theorem says, for instance, that there is a vector orthogonal to the point b' on the arm such that for any h in H, ph' [less than or equal to] ph, and for any b in B, pb' [greater than or equal to] pb.
This paper extends the Fisher Separation Theorem of finance and microeconomic theory to include the Keynesian model of macroeconomics.
The Fisher separation theorem of finance theory is an application of pure microeconomics and has appeared in standard general finance textbooks for years [Brealy, Myers, Sick, and Whaley, 1986].
We show that imperfect hedging violates both the separation theorem and the full hedging theorem.
As a consequence of the Separation Theorem we recover, in a more general setting but which is also contained in [6], Ansari's Theorem.
In Chapter 4 the Fisher Separation Theorem is proved under uncertainty in different cases.