Linear square optimal control problem for stochastic difference equations with unknown parameters (Q1361210): Difference between revisions
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Revision as of 04:04, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Linear square optimal control problem for stochastic difference equations with unknown parameters |
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Linear square optimal control problem for stochastic difference equations with unknown parameters (English)
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23 July 1997
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The problem described by linear stochastic difference equation with unknown Gaussian vector parameter and a quadratic performance index is considered. The goal of the considerations is to find the optimal control which minimizes the mean value of the performance index. The way of determination of the optimal control from derived recursive equations is described.
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optimal stochastic control
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linear stochastic difference equation
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quadratic performance
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