Adaptive control of continuous-time linear stochastic systems with discounted cost criterion
type: Item
instance of: scholarly article
title: Adaptive control of continuous-time linear stochastic systems with discounted cost criterion
zbMATH Open document ID: 0697.93037
DOI: 10.1007/BF00941575
published in: Journal of Optimization Theory and Applications
publication date: 1991-01-01T00:00:00Z
review text: We consider the adaptive control of a linear diffusion process with regard to the discounted cost criterion. We show that the certainty- equivalence type of control, analogous to the one considered by \textit{T. E. Duncan} and \textit{P. Pasik-Duncan} [Math. Control Signals Syst. 3, No.1, 45-60 (1990; Zbl 0682.93057)], is asymptotically discount optimal in the sense of \textit{M. Schäl} [Stochastics 20, 51-71 (1987; Zbl 0621.90092)].
Mathematics Subject Classification ID: 93C40
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 4143874
zbMATH Keywords: linear diffusion process
zbMATH Keywords: discounted cost
zbMATH Keywords: asymptotically discount optimal
author: Tomasz R. Bielecki
MaRDI profile type: Publication
cites work: Adaptive control of continuous-time linear stochastic systems
cites work: Estimation and control in discounted stochastic dynamic programming
cites work: Q3859620
description: scientific article; zbMATH DE number 4143874