Title :
Further results on the uncertainty threshold principle
Author :
Ku, Richard T. ; Athans, Michael
Author_Institution :
Massachusetts Institute of Technology, Cambridge, MA, USA
fDate :
10/1/1977 12:00:00 AM
Abstract :
Additional quantitative results are presented for the existence of optimal decision rules and stochastic stability for linear systems with white random parameters with respect to quadratic performance criteria by examining a specific version of a multivariable optimization problem.
Keywords :
Linear systems, stochastic discrete-time; Optimal stochastic control; Stability; Stochastic optimal control; Uncertain systems; Control systems; Difference equations; Infinite horizon; Optimal control; Random sequences; Riccati equations; Stochastic systems; Uncertainty; Vectors; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1977.1101633
