Title :
On a result in stochastic optimal control
Author_Institution :
University of the Witwatersrand, Johannesburg, South Africa
fDate :
8/1/1973 12:00:00 AM
Abstract :
In a recent paper an equivalence was demonstrated between a certain stochastic optimal control problem and a linear-quadratic game. In this note it is pointed out that a more general equivalence exists which has an interesting form.
Keywords :
Games; Linear systems, stochastic discrete-time; Optimal stochastic control; Stochastic optimal control; Adaptive control; Automatic control; Chemical engineering; Convergence; Jacobian matrices; Leg; Linear systems; Optimal control; Stochastic processes; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1973.1100338
