线性二次型自适应随机最优控制律的精确公式

The 23rd IEEE Conference on Decision and Control Pub Date : 1984-12-01 DOI:10.1109/CDC.1984.272274

R. Rishel

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引用次数: 16

摘要

对于线性二次型自适应随机最优控制问题，将变分方法应用于由Girsanov变换得到的等价问题，得到了最优控制的表达式。该公式依赖于通过条件剩余成本的鞅表示定义的数量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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An exact formula for a linear quadratic adaptive stochastic optimal control law

For a Linear Quadratic Adaptive Stochastic Optimal Control Problem a formula for the optimal control is obtained by applying variational methods to an equivalent problem obtained from the Girsanov transformation. The formula does depend on a quantity defined through a martingale representation of the conditional remaining cost.

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The 23rd IEEE Conference on Decision and Control

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