International Journal of Control · 1967 · 17 citations · 4 references
Natural SciencesMathematicsDynamical SystemsProbability TheoryStochastic ProcessesControl SystemsControl TheoryFeedback ControlOptimal ControlStochastic ControlStochastic Differential EquationsGainLinear Control SystemsOptimal Control Of Stochastic SystemsOptimal Feedback ControlPontryagin Maximum PrinciplePontryagin's Maximum PrincipleStochastic Differential SystemsStochastic Optimal Control
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.
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<i>The Theory of Stochastic Processes</i>
D. R. Cox, H. D. Miller, George H. Weiss et al. · Physics Today · 1966 · 3.4K citations