On the Control of Stochastic Systems
- 1 August 1967
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 6 (2) , 179-188
- https://doi.org/10.1080/00207176708921797
Abstract
The problem of the optimal feedback control of a class of linear stochastic systems with quadratic performance measure is studied. Employing an analogue of the Pontryagin maximum principle, a set of ordinary differential equations are derived for the gain parameters of the controller. It is shown that these equations exhibit an elemental form of adaptivity. By means of an example, the applicability of the certainty equivalence principle to problems of this type is investigated.Keywords
This publication has 3 references indexed in Scilit:
- Optimal Control of Systems with Random Gain of Plant †International Journal of Control, 1965
- On the stochastic maximum principle: Fixed time of controlJournal of Mathematical Analysis and Applications, 1965
- Partial Observability and Optimal Control†Journal of Electronics and Control, 1962