Some properties of the dual adaptive stochastic control algorithm

The purpose of this paper is to compare analytically the properties of the suboptimal dual adaptive stochastic control with those of the optimal control, when plant dynamic contain multiplicative white noise parameters. A simple scalar example is used for this analysis.

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Bibliographic Details
Published in:IEEE transactions on automatic control 1981-10, Vol.26 (5), p.1001-1008
Main Authors: Dersin, P., Athans, M., Kendrick, D.
Format: Article
Language:English
Subjects:
Adaptive control
Costs
Dynamic programming
Equations
Infinite horizon
Optimal control
Programmable control
Stochastic processes
Stochastic resonance
Uncertainty
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Description
Summary:The purpose of this paper is to compare analytically the properties of the suboptimal dual adaptive stochastic control with those of the optimal control, when plant dynamic contain multiplicative white noise parameters. A simple scalar example is used for this analysis.
ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.1981.1102774