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

DOI10.1137/0324040MaRDI QIDQ3734290zbMATH OpenOpenAlexFDO

Authors 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

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

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(12)

• A formula for the optimal cost in the general discrete-time LEQG problem
• On a partially observable LQG problem for systems with Markovian jumping parameters
• A class of adaptive control problems solved via stochastic control
• The linear quadratic problem for the Itô stochastic equation: an adaptive variant
• scientific article; zbMATH DE number 4162796 (Why is no real title available?)
• An algorithm for a solution of a stochastic adaptive linear quadratic optimal control problem
• Optimal adaptive control and consistent parameter estimate for deterministic systems with quadratic cost
• Optimal control for a class of noisy linear systems with markovian jumping parameters and quadratic cost
• Stochastic \varepsilon-Optimal Linear Quadratic Adaptation: An Alternating Controls Policy
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• Dual adaptive controls for linear system with unknown constant parameters
• Controlled partially observed diffusions with correlated noise

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