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- W2022801322 abstract "A method is presented for the computation of optimal control for linear stochastic discrete systems when the control variable is a bounded scalar. The main part of the paper deals with the continuous time problem. The cases with and without penalty on the control variable are studied separately, and expressions for the optimal policy, and the average cost obtained. The best linear policy is investigated, the steady state solution found and the average cost for the best linear policy calculated. Finally the average costs for the best linear policy and the optimal policy are compared." @default.
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- W2022801322 date "1966-12-01" @default.
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- W2022801322 title "Optimal bounded control with linear stochastic equations and quadratic cost" @default.
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- W2022801322 doi "https://doi.org/10.1016/0022-247x(66)90159-4" @default.
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