Some properties of the dual adaptive stochastic control algorithm

DOI10.1109/TAC.1981.1102774MaRDI QIDQ3946059zbMATH OpenFDO

Authors Pierre L. Dersin, Michael Athans, David A. Kendrick

Publication date 1981

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1981.1102774

zbMATH Keywords

certainty equivalent controldual control algorithminfinite horizonlinear discrete-time stochastic control problemquadratic cost termwhite noise random coefficients

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

Cited in

(2)

• Suboptimal stochastic control strategy and an alternative cost decomposition
• Uncertain variance in an optimal linear system with white gain

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