Optimal stationary control of linear systems with control-dependent noise¶
Authors: D. Kleinman
Published: 1969 (Journal Paper)
Source: IEEE Transactions on Automatic Control
Algorithm: Stochastic LQR
DOI: 10.1109/TAC.1969.1099303
Summary¶
Abstract¶
Optimal stochastic control is investigated for linear systems in which the intensity of the driving noise is proportional to control input. Conditions are given under which an optimal control always exists. It is shown that the optimal control is linear in the system state. A convergent algorithm is developed for computing the optimal feedback gains.