Variance minimization approach for a class of dual control problems

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Original languageEnglish
Pages (from-to)2010-2020
Journal / PublicationIEEE Transactions on Automatic Control
Issue number12
Publication statusPublished - Dec 2002
Externally publishedYes


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.

Research Area(s)

  • Dual control, Dynamic programming, Linear-quadratic Gaussian (LQG) control problem, Stochastic control