{"title":"An exact formula for a linear quadratic adaptive stochastic optimal control law","authors":"R. Rishel","doi":"10.1109/CDC.1984.272274","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":269680,"journal":{"name":"The 23rd IEEE Conference on Decision and Control","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1984-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"16","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"The 23rd IEEE Conference on Decision and Control","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CDC.1984.272274","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 16
Abstract
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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