Stochastic optimal control of continuous time systems with unknown gain
David Gorman, J. Zaborszky · IEEE Transactions on Automatic Control · 1968
A systematic approach is presented based on recent results in filtering theory to treat the problem of optimally controlling a linear stochastic system with a set of unknown but fixed control gains. New suboptimal solutions are proposed for the control, and the non-Gaussian problem is treated. The interaction between filtering and control is clarified. Computer experiments illustrate some of the analytic results.