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 |
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Pages (from-to) | 832-836 |
Number of pages | 5 |
Journal | Proceedings of the IEEE Conference on Decision and Control |
DOIs | |
State | Published - 1985 |
ASJC Scopus subject areas
- Control and Systems Engineering
- Modeling and Simulation
- Control and Optimization