ALGORITHM FOR A SOLUTION OF A STOCHASTIC ADAPTIVE LINEAR QUADRATIC OPTIMAL CONTROL PROBLEM.

Raymond Rishel; Lawrence Harris

doi:10.1109/cdc.1985.268611

ALGORITHM FOR A SOLUTION OF A STOCHASTIC ADAPTIVE LINEAR QUADRATIC OPTIMAL CONTROL PROBLEM.

Raymond Rishel, Lawrence Harris

Mathematics

Research output: Contribution to journal › Conference article › peer-review

Abstract

A variational approach is taken to derive optimality conditions for a discrete-time linear quadratic adaptive stochastic optimal control problem. These conditions lead to an algorithm for computing optimal control laws which differs from the dynamic programming algorithm.

Original language	English
Pages (from-to)	832-836
Number of pages	5
Journal	Proceedings of the IEEE Conference on Decision and Control
DOIs	https://doi.org/10.1109/cdc.1985.268611
State	Published - 1985

ASJC Scopus subject areas

Control and Systems Engineering
Modeling and Simulation
Control and Optimization

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10.1109/cdc.1985.268611

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abstract = "A variational approach is taken to derive optimality conditions for a discrete-time linear quadratic adaptive stochastic optimal control problem. These conditions lead to an algorithm for computing optimal control laws which differs from the dynamic programming algorithm.",

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ALGORITHM FOR A SOLUTION OF A STOCHASTIC ADAPTIVE LINEAR QUADRATIC OPTIMAL CONTROL PROBLEM.

Abstract

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