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

Raymond Rishel, Lawrence Harris

Research output: Contribution to journalConference articlepeer-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 languageEnglish
Pages (from-to)832-836
Number of pages5
JournalProceedings of the IEEE Conference on Decision and Control
DOIs
StatePublished - 1985

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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