ADAPTIVE CONTROL OF A LINEAR STOCHASTIC SYSTEM WITH INDEPENDENT PARAMETERS.

Examination of the linear-quadratic regulator problem in the case in which a random process being controlled contains unknown parameters. Under the assumption that the parameters have a Gaussian a priori distribution, it is shown that finding an optimum control involves solving an iinfinite system of ordinary differential equations. Some formulas are included that can be used in practice to find the first two approximations of the optimum control.