Title :
Optimal nominal dual control for discrete-time LQG problem with unknown parameters
Author :
Li, Duan ; Fu, Peilin ; Qian, Fucai
Author_Institution :
Chinese Univ. of Hong Kong, Shatin, China
Abstract :
The dual control for a class of discrete-time LQG problem with unknown parameters is studied in this paper. The best possible (partial) closed-loop feedback control law is derived by exploring the future nominal posterior probabilities, thus taking into account the effect of future learning when constructing the optimal nominal control problem.
Keywords :
closed loop systems; discrete time systems; dynamic programming; feedback; linear quadratic Gaussian control; optimal control; stochastic processes; closed-loop feedback control law; discrete-time LQG problem; dynamic programming; nominal posterior probabilities; optimal nominal dual control; stochastic control;
Conference_Titel :
SICE 2003 Annual Conference
Conference_Location :
Fukui, Japan
Print_ISBN :
0-7803-8352-4
