An Algorithm for a Solution of a Stochastic Adaptive Linear Quadratic Optimal Control Problem

Raymond Rishel; Lawrence Harris

doi:10.1109/TAC.1986.1104200

An Algorithm for a Solution of a Stochastic Adaptive Linear Quadratic Optimal Control Problem

Raymond Rishel, Lawrence Harris

Mathematics

Research output: Contribution to journal › Article › peer-review

13 Scopus citations

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)	1165-1170
Number of pages	6
Journal	IEEE Transactions on Automatic Control
Volume	31
Issue number	12
DOIs	https://doi.org/10.1109/TAC.1986.1104200
State	Published - Dec 1986

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

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10.1109/TAC.1986.1104200

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An Algorithm for a Solution of a Stochastic Adaptive Linear Quadratic Optimal Control Problem

Abstract

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