Robust adaptive dynamic programming for continuous-time linear stochastic systems

In this paper, a robust optimal control problem is investigated for continuous-time linear stochastic systems with dynamic uncertainties. A non-model based stochastic robust optimal control design methodology is employed to iteratively update the control policy online by directly using the online information. A robust adaptive dynamic programming (RADP) algorithm is developed, together with rigorous convergence and stability analysis. The effectiveness of the proposed method is also illustrated by an example of two connected inverted pendulums.