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Stochastic linear quadratic adaptive control for continuous-time first-order systems |
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| Authors: | A.J. Gao B. Pasik-Duncan |
| Affiliation: | Department of Mathematics, The University of Kansas, Lawrence, KS 66045, USA |
| Abstract: | In this paper, we discuss the linear quadratic (LQ) adaptive control problem for the following continuous-time first-order scalar stochastic system: dxt = axt dt + but dt + c dwt, with cost function min lim sup Jt(u),  where |
| Keywords: | Weighted least-squares algorithm Linear quadratic Adaptive control Continuous-time stochastic systems Optimality |
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