On the Control of Stochastic Systems †
作者:
D. D. SWORDER,
期刊:
International Journal of Control
(Taylor Available online 1967)
卷期:
Volume 6,
issue 2
页码: 179-188
ISSN:0020-7179
年代: 1967
DOI:10.1080/00207176708921797
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The problem of the optimal feedback control of a class of linear stochastic systems with quadratic performance measure is studied. Employing an analogue of the Pontryagin maximum principle, a set of ordinary differential equations are derived for the gain parameters of the controller. It is shown that these equations exhibit an elemental form of adaptivity. By means of an example, the applicability of the certainty equivalence principle to problems of this type is investigated.
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