Adaptive control of continuous-time linear stochastic systems with discounted cost criterion
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 WordsAdaptive control discounted cost asymptotically discount optimal control
Unable to display preview. Download preview PDF.
- 1.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
- 2.Schäl, M.,Estimation and Control in Discounted Stochastic Dynamic Programming, Stochastics, Vol. 20, pp. 51–71, 1987.Google Scholar
- 3.Wonham, M.,Linear Multivariable Control: A Geometric Approach, Springer-Verlag, New York, New York, 1979.Google Scholar
- 4.Duncan, T. E., Goldys, B., andPasik-Duncan, B.,Adaptive Control of Linear Stochastic Evolution Systems, Preprint, Department of Mathematics, University of Kansas.Google Scholar
- 5.Lipster, R. S., andShiryaev, A. N.,Statistics of Random Processes, I, Springer-Verlag, New York, New York, 1978.Google Scholar