Journal of Optimization Theory and Applications

, Volume 68, Issue 2, pp 379–383 | Cite as

Adaptive control of continuous-time linear stochastic systems with discounted cost criterion

  • T. R. Bielecki
Technical Note


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).

Key Words

Adaptive control discounted cost asymptotically discount optimal control 


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    Duncan, T. E., andPasik-Duncan, B.,Adaptive Control of Continuous-Time Linear Stochastic Systems, Mathematics for Control, Signals, and Systems, Vol. 3, pp. 45–60, 1990.Google Scholar
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    Schäl, M.,Estimation and Control in Discounted Stochastic Dynamic Programming, Stochastics, Vol. 20, pp. 51–71, 1987.Google Scholar
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Copyright information

© Plenum Publishing Corporation 1991

Authors and Affiliations

  • T. R. Bielecki
    • 1
  1. 1.Department of MathematicsUniversity of KansasLawrence

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