A dual controller for linear systems with random jump parameters
- 1 December 1985
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- Vol. 24, 911-915
- https://doi.org/10.1109/cdc.1985.268632
Abstract
This paper addresses the problem of control of partially observed linear discrete time stochastic systems with unknown parameters taking values in a finite set. The solution approach is based on a decomposition of the cost function into a control and trajectory component and a dual or learning component. Similarly the control policy is decomposed into a trajectory and a dual policy. A novel identification feedback scheme which introduces duality into the problem is presented.Keywords
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