An Exact Formula for a Linear Quadratic Adaptive Stochastic Optimal Control Law

DOI10.1137/0324040zbMath0598.93069OpenAlexW2179274752MaRDI QIDQ3734290

Raymond W. Rishel

Publication date: 1986

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0324040

zbMATH Keywords

dual controloptimal adaptive stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Adaptive control/observation systems (93C40) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

Related Items (5)

Optimal control for a class of noisy linear systems with markovian jumping parameters and quadratic cost ⋮ On a partially observable LQG problem for systems with Markovian jumping parameters ⋮ Dual adaptive controls for linear system with unknown constant parameters ⋮ Controlled partially observed diffusions with correlated noise ⋮ A class of adaptive control problems solved via stochastic control

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