Optimal adaptive LQG control for systems with finite state process parameters

DOI10.1109/TAC.1985.1103907zbMath0571.93035OpenAlexW2115484823MaRDI QIDQ3688189

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Publication date: 1985

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1985.1103907

zbMATH Keywords

Hamilton-Jacobi-Bellman equationnonlinear filteringadaptive optimal stochastic controlKushner- Stratonovich equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Adaptive control/observation systems (93C40) Dynamic programming (90C39) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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