Embedding adaptive JLQG into LQ martingale control with a completely observable stochastic control matrix

DOI10.1109/9.486643zbMath0847.93068OpenAlexW2118047730MaRDI QIDQ4884113

Henk A. P. Blom, Mariken H. C. Everdij

Publication date: 7 October 1996

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

Full work available at URL: https://doi.org/10.1109/9.486643

zbMATH Keywords

Hamilton-Jacobi-Bellman equationaveragingoptimal control problemsjump linear quadratic Gaussianopen-loop-optimal-feedback

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (9)

Robust optimal control for minimax stochastic linear quadratic problem ⋮ Robust stochastic maximum principle for multi-model worst case optimization ⋮ Detector-based \(H_\infty\) results for discrete-time Markov jump linear systems with partial observations ⋮ Fully probabilistic control for stochastic nonlinear control systems with input dependent noise ⋮ Probabilistic DHP adaptive critic for nonlinear stochastic control systems ⋮ On the continuous time-varying JLQ problem ⋮ Discussion on: ``On the continuous time-varying JLQ problem ⋮ H_∞ control of continuous-time Markov jump linear systems with detector-based mode information ⋮ Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space

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