Journal
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
Volume 47, Issue 12, Pages 2010-2020Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TAC.2002.805683
Keywords
dual control; dynamic programming; linear-quadratic Gaussian (LQG) control problem; stochastic control
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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.
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