On constrained stochastic optimal parameter selection problems

DOI10.1017/S0004972700018268zbMath0689.65091MaRDI QIDQ3031889

C. J. Goh, Kok Lay Teo

Publication date: 1990

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

Wiener processgradient algorithmIto equationoptimal parameter estimationconstant state feedbackconstrained stochastic optimal parameter selectionsecond order system with white noise inputsquare integral functional

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical optimization and variational techniques (65K10) Estimation and detection in stochastic control theory (93E10) Probabilistic methods, stochastic differential equations (65C99)

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