Title :
An extension of the stochastic linear regulator problem
Author :
Kwakernaak, Huibert
Author_Institution :
Twente University of Technology, Enschede, The Netherlands
fDate :
4/1/1974 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1974.1100503
