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Stochastic Control

In: Introduction to Mathematical Systems Theory

Author

Listed:
  • Christiaan Heij

    (Erasmus University Rotterdam, Department of Econometrics)

  • André C.M. Ran

    (Vrije Universiteit, Department of Mathematics)

  • Frederik van Schagen

    (Vrije Universiteit, Department of Mathematics)

Abstract

Stochastic optimal control problems can in principle be solved by stochastic dynamic programming. We pay special attention to the LQG problem where the system is linear, the cost function is quadratic, and the random variables have Gaussian distributions. The optimal controller is given by the LQG feedback law where the unobserved state is replaced by the Kalman filter estimate.

Suggested Citation

  • Christiaan Heij & André C.M. Ran & Frederik van Schagen, 2021. "Stochastic Control," Springer Books, in: Introduction to Mathematical Systems Theory, edition 2, chapter 8, pages 121-135, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-59654-5_8
    DOI: 10.1007/978-3-030-59654-5_8
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