Exact optimal solution for a class of dual control problems

DOI10.1080/00207721.2014.973469MaRDI QIDQ2822254zbMATH OpenOpenAlexFDO

Authors Suping Cao, Fucai Qian, Xiaomei Wang

Publication date 30 September 2016

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207721.2014.973469

zbMATH Keywords

dual controldynamic programmingstochastic system

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Dynamic programming (90C39) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

• A multistage suboptimal dual controller using optimal predictors
• A parameter-adaptive control technique
• An actively adaptive control for linear systems with random parameters via the dual control approach
• An innovations approach to dual control
• Caution and probing in stochastic control†
• Complete Statistical Characterization of Discrete-Time LQG and Cumulant Control
• Discrete time mean-field stochastic linear-quadratic optimal control problems
• Generalized matrix measure of switched nonlinear systems
• On the utopian approach to the multiobjective LQ problem
• Optimal control of LQG problem with an explicit trade-off between mean and variance
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters
• Stochastic adaptive control methods: a survey
• Stochastic dynamic programming: Caution and probing

Cited in

(9)

• On dual problems of optimal control
• Optimal nominal dual control for discrete-time linear-quadratic Gaussian problems with unknown parameters
• An application of the duality theory of Toland to a problem of optimal control
• scientific article; zbMATH DE number 3865128 (Why is no real title available?)
• A suboptimal dual controller for stochastic systems with unknown parameters
• scientific article; zbMATH DE number 3951408 (Why is no real title available?)
• Example for equivalence of dual and information-based optimal control
• Variance minimization approach for a class of dual control problems
• An exact dual method of solution of a linear terminal control problem

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