• DocumentCode
    814068
  • Title

    An extension of the stochastic linear regulator problem

  • Author

    Kwakernaak, Huibert

  • Author_Institution
    Twente University of Technology, Enschede, The Netherlands
  • Volume
    19
  • Issue
    2
  • fYear
    1974
  • fDate
    4/1/1974 12:00:00 AM
  • Firstpage
    121
  • Lastpage
    123
  • Abstract
    The stochastic linear regulator problem is extended to cover the case of non-Gaussian white noise. Using martingale theory, it is proved that the linear optimal regulator is also optimal for non-Gaussian white noise.
  • Keywords
    Optimal regulators; Optimal stochastic control; Stochastic optimal control; Adaptive control; Automatic control; Convergence; Force control; Lyapunov method; Parameter estimation; Regulators; Stochastic processes; Stochastic resonance; White noise;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1974.1100503
  • Filename
    1100503
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=814068