The adaptive lqg problem, II
- 1 February 1986
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 16 (1-2) , 25-49
- https://doi.org/10.1080/17442508608833365
Abstract
A natural adaptive Linear Quadratic Regulator is studied. The optimal control is shown to be the conditional expectation, given the observations, of the linear quadratic control computed assuming the true parameter were known. Moreover this control is stabilizing. The new ingredient that makes these results possible is the introduction of the concept of entropy into this setting.Keywords
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