TY - JOUR
T1 - Variance minimization approach for a class of dual control problems
AU - Li, Duan
AU - Qian, Fucai
AU - Fu, Peilin
PY - 2002/12
Y1 - 2002/12
N2 - We consider in this paper a class of dual control problems where there exists a parameter uncertainty in the observation equation of the linear-quadratic Gaussian problem. An analytical active dual control law is derived by a variance minimization approach. The issue of how to determine an optimal degree of active learning is then addressed, thus achieving an optimality for this class of dual control problems.
AB - We consider in this paper a class of dual control problems where there exists a parameter uncertainty in the observation equation of the linear-quadratic Gaussian problem. An analytical active dual control law is derived by a variance minimization approach. The issue of how to determine an optimal degree of active learning is then addressed, thus achieving an optimality for this class of dual control problems.
KW - Dual control
KW - Dynamic programming
KW - Linear-quadratic Gaussian (LQG) control problem
KW - Stochastic control
UR - http://www.scopus.com/inward/record.url?scp=0036949904&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0036949904&origin=recordpage
U2 - 10.1109/TAC.2002.805683
DO - 10.1109/TAC.2002.805683
M3 - RGC 21 - Publication in refereed journal
SN - 0018-9286
VL - 47
SP - 2010
EP - 2020
JO - IEEE Transactions on Automatic Control
JF - IEEE Transactions on Automatic Control
IS - 12
ER -