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.
|Number of pages||5|
|Journal||Proceedings of the IEEE Conference on Decision and Control|
|State||Published - 1985|
ASJC Scopus subject areas
- Control and Systems Engineering
- Modeling and Simulation
- Control and Optimization