Precise Analysis of an Optimal Perturbation Estimation and Control Problem.

Abstract

A mathematically rigorous analysis is performed of a scalar discrete-time stochastic optimal control problem. This problem differs from the standard linear-quadratic-Gaussian one only by the presence of a quadratic term in the state and process noise with a small coefficient. A certain formal approximation to the optimal control is shown to converge asymptotically in probability to an optimal control with respect to this coefficient. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Sep 15, 1980
Accession Number
ADA091116

Entities

People

  • Warren W. Willman

Organizations

  • United States Naval Research Laboratory

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Accuracy
  • Coefficients
  • Computations
  • Construction
  • Distribution Functions
  • Dynamic Programming
  • Dynamics
  • Measurement
  • Normal Distribution
  • Plastic Explosives
  • Probability
  • Probability Density Functions
  • Probability Distribution Functions
  • Probability Distributions
  • Random Variables
  • Sequences
  • Two Dimensional

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.