DocumentCode
851611
Title
An algorithm for a solution of a stochastic adaptive linear quadratic optimal control problem
Author
Rishel, Raymond ; Harris, Lawrence
Author_Institution
University of Kentucky, Lexington, Kentucky, USA
Volume
31
Issue
12
fYear
1986
fDate
12/1/1986 12:00:00 AM
Firstpage
1165
Lastpage
1170
Abstract
A variational approach is taken to derive optimality conditions for a discrete-time linear quadratic adaptive stochastic optimal control problem. These conditions lead to an algorithm for computing optimal control laws which differs from the dynamic programming algorithm.
Keywords
Adaptive control, linear systems; Linear-quadratic control; Stochastic optimal control, linear systems; Variational methods; Adaptive control; Automatic control; Control systems; Dynamic programming; Optimal control; Output feedback; Programmable control; Stochastic processes; Transfer functions; Uncertain systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1986.1104200
Filename
1104200
Link To Document