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Browse Journals & Magazines > Automatic Control, IEEE Trans ...> Volume:31 Issue:12 Help

An algorithm for a solution of a stochastic adaptive linear quadratic optimal control problem

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2 Author(s)
Rishel, R. ; University of Kentucky, Lexington, Kentucky, USA ; Harris, L.

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.

Published in:
Automatic Control, IEEE Transactions on  (Volume:31 ,  Issue: 12 )

Date of Publication: Dec 1986

Page(s):
1165 - 1170
ISSN :
0018-9286
Digital Object Identifier :
10.1109/TAC.1986.1104200
Product Type:
Journals & Magazines
Date of Current Version :
06 January 2003
Issue Date :
Dec 1986
Sponsored by :
IEEE Control Systems Society

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