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On adaptive control for the continuous time-varying JLQG problem

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Czornik A., Świernik A.

International Journal of Applied Mathematics and Computer Science

2005

tom 15

nr 1

53-62

In this paper the adaptive control problem for a continuous infinite time-varying stochastic control system with jumps in parameters and quadratic cost is investigated. It is assumed that the unknown coefficients of the system have limits as time tends to infinity and the boundary system is absolutely observable and stabilizable. Under these assumptions it is shown that the optimal value of the quadratic cost can be reached based only on the values of these limits, which, in turn, can be estimated through strongly consistent estimators.

Ograniczanie wyników

1 International Journal of Applied Mathematics and Computer Science

1 Czornik A.

1 Świernik A.

1 2005

Wyniki wyszukiwania

On adaptive control for the continuous time-varying JLQG problem