Title :
A simple dual control problem with an analytical solution
Author_Institution :
Lund Institute of Technology, Lund, Sweden
fDate :
12/1/1976 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1976.1101383
