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||6|
|Journal||IEEE Transactions on Automatic Control|
|State||Published - Dec 1986|
ASJC Scopus subject areas
- Control and Systems Engineering
- Computer Science Applications
- Electrical and Electronic Engineering