Linear square optimal control problem for stochastic difference equations with unknown parameters
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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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Cites work
- scientific article; zbMATH DE number 3457919 (Why is no real title available?)
- scientific article; zbMATH DE number 852177 (Why is no real title available?)
- scientific article; zbMATH DE number 960196 (Why is no real title available?)
- Necessary and sufficient conditions of asymptotic mean square stability for stochastic linear difference equations
- Optimal control problem for nonlinear stochastic difference second kind Volterra equations
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