An algorithm for a solution of a stochastic adaptive linear quadratic optimal control problem

DOI10.1109/TAC.1986.1104200zbMath0641.93068OpenAlexW2133351964MaRDI QIDQ3783190

Lawrence A. Harris, Raymond W. Rishel

Publication date: 1986

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1986.1104200

zbMATH Keywords

algorithmoptimality conditionsvariational approachdiscrete-time linear quadratic adaptive stochastic optimal control

Mathematics Subject Classification ID

Adaptive control/observation systems (93C40) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Finite difference methods for boundary value problems involving PDEs (65N06) Optimality conditions for problems involving randomness (49K45)

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