Title :
An algorithm for a solution of a stochastic adaptive linear quadratic optimal control problem
Author :
Rishel, Raymond ; Harris, Lawrence
Author_Institution :
University of Kentucky, Lexington, Kentucky, USA
fDate :
12/1/1986 12:00:00 AM
Abstract :
A variational approach is taken to derive optimality conditions for a discrete-time linear quadratic adaptive stochastic optimal control problem. These conditions lead to an algorithm for computing optimal control laws which differs from the dynamic programming algorithm.
Keywords :
Adaptive control, linear systems; Linear-quadratic control; Stochastic optimal control, linear systems; Variational methods; Adaptive control; Automatic control; Control systems; Dynamic programming; Optimal control; Output feedback; Programmable control; Stochastic processes; Transfer functions; Uncertain systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1986.1104200
