Stochastic optimal control of continuous time systems with unknown gain
- 1 December 1968
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 13 (6) , 630-638
- https://doi.org/10.1109/tac.1968.1099034
Abstract
A systematic approach is presented based on recent results in filtering theory to treat the problem of optimally controlling a linear stochastic system with a set of unknown but fixed control gains. New suboptimal solutions are proposed for the control, and the non-Gaussian problem is treated. The interaction between filtering and control is clarified. Computer experiments illustrate some of the analytic results.Keywords
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