Adaptive control of continuous-time linear stochastic systems with discounted cost criterion
| Autor: | Bielecki, T. R. |
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| Zdroj: | Journal of Optimization Theory and Applications; February 1991, Vol. 68 Issue: 2 p379-383, 5p |
| Abstrakt: | In this note, we consider the adaptive control of a linear diffusion process with regard to the discounted cost criterion. We show that the certainty-equivalence type of control, analogous to the one considered by Duncan and Pasik-Duncan (Ref. 1), is asymptotically discount optimal in the sense of Schäl (Ref. 2). |
| Databáze: | Supplemental Index |
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