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On the discrete time-varying JLQG problem. (English) Zbl 1049.93087

For the discrete time-varying JLQG problem with coefficients having limits as time tends to infinity, the optimal control is realized as a time-invariant feedback with feedback matrix equal to the one for the time-invariant system with coefficients equal to the limits of the original problem. A solution to an adaptive control problem is proposed.

MSC:

93E20 Optimal stochastic control
93C55 Discrete-time control/observation systems
60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
60J20 Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
60J75 Jump processes (MSC2010)
93E35 Stochastic learning and adaptive control
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