Optimal control of discrete-time stochastic systems

DOI10.1016/0022-247X(66)90116-8zbMath0146.33102OpenAlexW2045673586MaRDI QIDQ2524282

David D. Sworder

Publication date: 1966

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(66)90116-8

zbMATH Keywords

system of difference equationsminimization of cost functional

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items

Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models, An on line adaptive control method, A parameter-adaptive control technique, Adaptive control of linear stochastic systems

Cites Work

• A maximum principle for stochastic control systems
• The necessary and sufficient conditions for optimality of discrete control systems
• L. S. Pontryagin's maximum principle in the theory of optimal systems. I--III
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