An algorithm for a solution of a stochastic adaptive linear quadratic optimal control problem
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Publication:3783190
DOI10.1109/TAC.1986.1104200zbMath0641.93068MaRDI QIDQ3783190
Lawrence A. Harris, Raymond W. Rishel
Publication date: 1986
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
algorithm; optimality conditions; variational approach; discrete-time linear quadratic adaptive stochastic optimal control
93C40: Adaptive control/observation systems
93C55: Discrete-time control/observation systems
93C05: Linear systems in control theory
93E20: Optimal stochastic control
65N06: Finite difference methods for boundary value problems involving PDEs
49K45: Optimality conditions for problems involving randomness
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