A View of Stochastic Control Theory
Peter J. L. Whittle · Journal of the Royal Statistical Society Series A (General) · 1969
SUMMARY A general form (3) is given of the recursive optimality principle, which is then specialized to the standard case, where a state-space description is available. The situation with linear dynamics and quadratic costs is briefly reviewed; attention being paid to the certainty equivalence principle, the Kalman recursion, and spectral methods. A couple of trajectory problems are discussed. The qualitative consequences of the stochastic element in these (the fly-paper effect) is mentioned, and an example given of how the stochastic solution is related to the deterministic solution for a certain class of problems. The paper ends with a short section on the statistical characterization of adaptive control.