| Description |
An introduction to stochastic optimal control theory and application. It reviews mathematical foundations and explores parametric optimization, conditions for optimality, constraints and singular control, numerical optimization, and neighboring-optimal solutions. Least-squares estimates, propagation of state estimates and uncertainty, and optimal filters and predictors; optimal control in the presence of uncertainty; certainty equivalence and the linear-quadratic-Gaussian regulator problem; frequency-domain solutions for linear multivariable systems; and robustness of closed-loop control are all studied. |