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The adaptive lqg problem, II

 

作者: Omar Hijab,  

 

期刊: Stochastics  （Taylor Available online 1986）
卷期: Volume 16, issue 1-2  

页码: 25-49

 

ISSN:0090-9491

 

年代: 1986

 

DOI:10.1080/17442508608833365

 

出版商: Gordon and Breach Science Publishers, Inc

 

关键词: Adaptive control;stabilization;entropy;certainty equivalence;linear quadratic control

 

数据来源: Taylor

 

摘要:

A natural adaptive Linear Quadratic Regulator is studied. The optimal control is shown to be the conditional expectation, given the observations, of the linear quadratic control computed assuming the true parameter were known. Moreover this control is stabilizing. The new ingredient that makes these results possible is the introduction of the concept of entropy into this setting.

 

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