DocumentCode
822884
Title
A simple dual control problem with an analytical solution
Author
Sternby, Jan
Author_Institution
Lund Institute of Technology, Lund, Sweden
Volume
21
Issue
6
fYear
1976
fDate
12/1/1976 12:00:00 AM
Firstpage
840
Lastpage
844
Abstract
A stochastic control problem for which the optimal dual control law can be calculated analytically is given. The system is a four state Markov chain with transition probabilities that depend on the control variable. The performance of the optimal dual control law and of some suboptimal control laws are calculated and compared.
Keywords
Markov processes; Optimal stochastic control; Stochastic optimal control; Control systems; Differential equations; Error correction; Information analysis; Maximum likelihood estimation; Open loop systems; Optimal control; Parameter estimation; Performance analysis; Stochastic processes;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1976.1101383
Filename
1101383
Link To Document